An approach for solving perpetual optimal stopping problems driven by Lévy processes

DOI10.1080/17442500601108508zbMath1156.60026OpenAlexW2012087674MaRDI QIDQ3429349

Budhi A. Surya

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601108508

zbMATH Keywords

Optimal stopping problemAmerican put-type optionsLevy process and Wiener-Hopf factorizationPrinciples of smooth and continuous pasting

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)

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