Optimal Stopping for Exponential Lévy Models with Weighted Discounting

DOI10.1137/22m1513538zbMath1519.91230OpenAlexW4384203558MaRDI QIDQ6169623

José M. Pedraza, David Landriault, Bin Li

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

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

Cites Work

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