On a solution of the optimal stopping problem for processes with independent increments
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Publication:3429352
DOI10.1080/17442500601090409zbMath1114.60035OpenAlexW2024555717MaRDI QIDQ3429352
Albert N. Shiryaev, Alexander Novikov
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp178.pdf
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)
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