An optimal stopping problem for fragmentation processes

DOI10.1016/j.spa.2011.12.009zbMath1253.60056arXiv1101.5035OpenAlexW2139097546MaRDI QIDQ424467

Andreas E. Kyprianou, Juan Carlos Pardo

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5035

zbMATH Keywords

fragmentation processesgeneralized Ornsteinintegrated exponential Lévy processUhlenbeck processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• The integral option in a model with jumps
• Renewal series and square-root boundaries for Bessel processes
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• Tail asymptotics for exponential functionals of Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Examples of optimal stopping via measure transformation for processes with one-sided jumps
• Random Fragmentation and Coagulation Processes

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