Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

DOI10.1214/aoap/1075828052zbMath1042.60023OpenAlexW2056913928MaRDI QIDQ1431556

Florin Avram, Martijn R. Pistorius, Andreas E. Kyprianou

Publication date: 10 June 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1075828052

zbMATH Keywords

optimal stoppingAmerican optionscale functionsRussian optionexit problemsCanadized optionreflected Levý processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99)

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