Solutions for Poissonian stopping problems of linear diffusions via extremal processes

DOI10.1016/J.SPA.2024.104351MaRDI QIDQ6496995zbMATH OpenFDO

Authors Luis H. R. Alvarez E., Jukka Lempa, Harto Saarinen, Wiljami Sillanpää

Publication date 6 May 2024

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2024.104351

zbMATH Keywords

extremal processeslinear diffusionsoptimal stoppingPoissonian timing

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites work

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• A zero-sum Poisson stopping game with asymmetric signal rates
• American options under periodic exercise opportunities
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• Double continuation regions for American options under Poisson exercise opportunities
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• Exit identities for Lévy processes observed at Poisson arrival times
• Fluctuations of Lévy processes with applications. Introductory lectures
• scientific article; zbMATH DE number 1795850 (Why is no real title available?)
• Investment/consumption problem in illiquid markets with regime-switching
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• Optimal switching at Poisson random intervention times
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• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Stopping at the maximum of geometric Brownian motion when signals are received
• Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
• The shape of the value function under Poisson optimal stopping

Cited in

(1)

• Zero-sum Dynkin games under common and independent Poisson constraints

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