Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models
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Publication:2942281
DOI10.1137/140957317zbMath1321.60081arXiv1505.07313OpenAlexW2949469822MaRDI QIDQ2942281
Tim Leung, Hongzhong Zhang, Kazutoshi Yamazaki
Publication date: 20 August 2015
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.07313
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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