Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models

DOI10.1214/17-AAP1322zbMath1402.60049arXiv1706.03724OpenAlexW3106260648MaRDI QIDQ1617121

Neofytos Rodosthenous, Hongzhong Zhang

Publication date: 7 November 2018

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

Full work available at URL: https://arxiv.org/abs/1706.03724

zbMATH Keywords

optimal stoppingLévy processoccupation timesimpatienceomega clockrandom discount rate

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)

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