Optimal stopping, Appell polynomials, and Wiener–Hopf factorization

DOI10.1080/17442508.2011.552722zbMath1248.60046OpenAlexW1964413780MaRDI QIDQ3108383

Paavo H. Salminen

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.552722

zbMATH Keywords

optimal stoppingAppell polynomialLévy process, Wiener-Hopf factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Appell, Horn and Lauricella functions (33C65)

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Cites Work

• Optimal stopping and perpetual options for Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Optimal stopping of Hunt and Lévy processes
• An approach for solving perpetual optimal stopping problems driven by Lévy processes
• Optimal Stopping for Partial Sums