Optimal stopping of the stable process with state-dependent killing

DOI10.3150/24-bej1741MaRDI QIDQ6632620

Alexander R. Watson, Kees van Schaik, Xin Xu

Publication date: 5 November 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingself-similaritystable Lévy processMarkov additive processLamperti transformationomega-clock

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) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

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