On optional stopping of some exponential martingales for Lévy processes with or without reflection.

DOI10.1016/S0304-4149(00)00063-6zbMath1047.60038OpenAlexW2087342253MaRDI QIDQ1879504

Offer Kella, Soren Asmussen

Publication date: 22 September 2004

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00063-6

zbMATH Keywords

stopping timelocal timeLévy processexponential change of measureWald martingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Markov processes (60J99)

Related Items (6)

Useful Martingales for Stochastic Storage Processes with Lévy-Type Input ⋮ Lévy Processes, Phase-Type Distributions, and Martingales ⋮ Queues with Lévy input and hysteretic control ⋮ Unifying the Dynkin and Lebesgue–Stieltjes formulae ⋮ Large deviations and fast simulation in the presence of boundaries. ⋮ The expected time to ruin in a risk process with constant barrier via martingales

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