Contraction options and optimal multiple-stopping in spectrally negative Lévy models

DOI10.1007/s00245-014-9274-0zbMath1323.60058arXiv1209.1790OpenAlexW2019110538MaRDI QIDQ496121

Kazutoshi Yamazaki

Publication date: 17 September 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.1790

zbMATH Keywords

spectrally negative Lévy processescontraction optionsoptimal multiple-stopping

Mathematics Subject Classification ID

Related Items (3)

Inventory Control for Spectrally Positive Lévy Demand Processes ⋮ On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models ⋮ Optimality of hybrid continuous and periodic barrier strategies in the dual model

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