Optimal stopping for Lévy processes and affine functions

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dc.creatorDorobantu, Diana
dc.date2008-04-21
dc.date.accessioned2026-07-07T12:18:26Z
dc.date.available2026-07-07T12:18:26Z
dc.descriptionThis paper studies an optimal stopping problem for Lévy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also justify the convexity of the value function, and without a priori restriction to a particular class of stopping times, we deduce that the smallest optimal stopping time is necessarily a hitting time. We propose a method which allows to obtain the optimal threshold. Moreover this method allows to avoid long calculations of the integro-differential operatorused in the usual proofs.
dc.description32 pages
dc.identifierhttps://arxiv.org/abs/0804.3277
dc.identifierhttp://arxiv.org/abs/0804.3277
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/212410
dc.subjectProbability
dc.titleOptimal stopping for Lévy processes and affine functions
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