Optimal Stopping for Exponential Lévy Models with Weighted Discounting

DOI10.1137/22M1513538MaRDI QIDQ6169623zbMATH OpenOpenAlexFDO

Authors David Landriault, Bin Li, José M. Pedraza

Publication date 15 August 2023

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1513538

zbMATH Keywords

Lévy processesoptimal stoppingtime inconsistencyweighted discounting

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46) Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

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Cited in

(1)

• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models

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