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Título: | Two-sided optimal stopping for Lévy processes |
Autor: | Mordecki, Ernesto Oliú Eguren, Facundo |
Tipo: | Artículo |
Palabras clave: | Optimal stopping, Lévy processes, Two sided problems |
Fecha de publicación: | 2021 |
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. |
Editorial: | Institute of Mathematical Statistics and Bernoulli Society |
EN: | Electronic Communications in Probability, 2021, 26: article no. 9. |
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. |
ISSN: | 10083-589X |
Aparece en las colecciones: | Publicaciones académicas y científicas - Facultad de Ciencias |
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