Optimal stopping for a compound Poisson process with exponential jumps

MaRDI QIDQ6146344zbMATH OpenFDO

Authors Ernesto Mordecki

Publication date 10 January 2024

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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