On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models

DOI10.1016/j.spa.2018.08.005zbMath1479.60082arXiv1707.07797OpenAlexW2737653670MaRDI QIDQ2274283

Mingsi Long, Hongzhong Zhang

Publication date: 19 September 2019

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

Full work available at URL: https://arxiv.org/abs/1707.07797

zbMATH Keywords

optimal stoppingLévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

Related Items (3)

Perpetual American options with asset-dependent discounting ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ First passage upwards for state-dependent-killed spectrally negative Lévy processes

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