Optimal stopping for a compound Poisson process with exponential jumps

MaRDI QIDQ6146344FDOQ6146344

Authors: Ernesto Mordecki 

Publication date: 10 January 2024

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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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