On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes

DOI10.1239/jap/1339878803zbMath1252.60039OpenAlexW2040459019MaRDI QIDQ2897161

Ming-Yao Tsai, Yuan-Chung Sheu

Publication date: 8 July 2012

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1339878803

zbMATH Keywords

averaging problemoptimal stopping problemjump-diffusion processmatrix-exponential distributionAmerican call-type reward function

Mathematics Subject Classification ID

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

Related Items (5)

Lévy Processes, Phase-Type Distributions, and Martingales ⋮ A general approximation method for optimal stopping and random delay ⋮ Free boundary problems and perpetual American strangles ⋮ Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model ⋮ One-sided solutions for optimal stopping problems with logconcave reward functions

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