Título:
Two-sided optimal stopping for Lévy processes
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Autor:
Mordecki, Ernesto
Oliú Eguren, Facundo
Oliú Eguren, Facundo
Tutor:
Tipo de documento:
Artículo
Editor:
Palabras clave:
Optimal stopping
Lévy processes
Two sided problems
Lévy processes
Two sided problems
Descriptores:
Año de publicación:
2021
Contenido:
Resumen:
Infinite horizon optimal stopping problems for a Lévy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A result to compute the angle of the value function at the optimal thresholds of the stopping region is given. To illustrate the results, the optimal stopping problem of a compound Poisson process with two-sided exponential jumps and a two-sided payoff function is solved. In this example, the smooth-pasting condition does not hold.
Descripción:
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Editorial:
Institute of Mathematical Statistics and Bernoulli Society
EN:
Electronic Communications in Probability, 2021, 26: article no. 9.
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Citación:
Mordecki Pupko, E y Oliú Eguren, F. "Two-sided optimal stopping for Lévy processes". Electronic Communications in Probability. [en línea] 2021, 26: article no. 9. 12 h. DOI: 10.1214/21-ecp376.
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e-ISBN:
ISSN:
10083-589X
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Licencia:
Licencia Creative Commons Atribución (CC - By 4.0)
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| Ficheros | Descripción | Tamaño | Formato | ||
|---|---|---|---|---|---|
| 10121421ecp376.pdf | — | 219.28 KB | Adobe PDF |