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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 3-4: Special issue on optimal stopping with applications
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Original Articles

On a solution of the optimal stopping problem for processes with independent increments

Alexander Novikov Department of Mathematical Sciences, University of Technology, PO Box 123, Broadway, Sydney, NSW, 2007, AustraliaCorrespondence[email protected]
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Albert Shiryaev Mathematical Institute, 8 ul. Gubkina, 119991, Moscow, RussiaView further author information
Pages 393-406 | Received 09 Jun 2006, Accepted 25 Oct 2006, Published online: 05 Nov 2008

Citations (33)

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Debasis Kundu. (2023) A stationary Weibull process and its applications. Journal of Applied Statistics 50:13, pages 2681-2700.
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Sören Christensen & Tobias Sohr. (2022) General optimal stopping with linear cost. Sequential Analysis 41:1, pages 35-52.
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Sören Christensen & Albrecht Irle. (2019) A general method for finding the optimal threshold in discrete time. Stochastics 91:5, pages 728-753.
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Alexander G. Tartakovsky. (2017) Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen. Sequential Analysis 36:1, pages 19-23.
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Sören Christensen. (2017) An effective method for the explicit solution of sequential problems on the real line. Sequential Analysis 36:1, pages 2-18.
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Claude Lefèvre & Philippe Picard. (2014) Appell pseudopolynomials and Erlang-type risk models. Stochastics 86:4, pages 676-695.
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Paavo Salminen. (2011) Optimal stopping, Appell polynomials, and Wiener–Hopf factorization. Stochastics 83:4-6, pages 611-622.
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Sören Christensen, Albrecht Irle & Alexander Novikov. (2011) An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences. Sequential Analysis 30:1, pages 79-93.
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Denis Belomestny & Pavel V. Gapeev. (2010) An iterative procedure for solving integral equations related to optimal stopping problems. Stochastics 82:4, pages 365-380.
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Articles from other publishers (24)

Yi-Shen Lin. (2024) A note on one-sided solutions for optimal stopping problems driven by Lévy processes. Statistics & Probability Letters 206, pages 109989.
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Sören Christensen & Tobias Sohr. (2020) A solution technique for Lévy driven long term average impulse control problems. Stochastic Processes and their Applications 130:12, pages 7303-7337.
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Mingsi Long & Hongzhong Zhang. (2019) On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models. Stochastic Processes and their Applications 129:8, pages 2821-2849.
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Yi-Shen Lin & Yi-Ching Yao. (2019) One-sided solutions for optimal stopping problems with logconcave reward functions. Advances in Applied Probability 51:01, pages 87-115.
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Sören Christensen & Paavo Salminen. (2017) Impulse control and expected suprema. Advances in Applied Probability 49:1, pages 238-257.
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Ernesto Mordecki & Yuliya Mishura. (2016) Optimal Stopping for Lévy Processes with One-Sided Solutions. SIAM Journal on Control and Optimization 54:5, pages 2553-2567.
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Bao Quoc Ta. (2015) Averaging problems of running processes associated with Brownian motion and applications. International Journal of Mathematics 26:03, pages 1550028.
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A. G. Moroz & V. V. Tomashyk. (2014) Convergence of Solutions and Their Exit Times in Diffusion Models with Jumps. Cybernetics and Systems Analysis 50:2, pages 288-296.
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Shoou-Ren Hsiau, Yi-Shen Lin & Yi-Ching Yao. (2014) Logconcave reward functions and optimal stopping rules of threshold form. Electronic Journal of Probability 19:none.
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Sören Christensen. (2014) On the solution of general impulse control problems using superharmonic functions. Stochastic Processes and their Applications 124:1, pages 709-729.
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Sören Christensen, Paavo Salminen & Bao Quoc Ta. (2013) Optimal stopping of strong Markov processes. Stochastic Processes and their Applications 123:3, pages 1138-1159.
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Yuan-Chung Sheu & Ming-Yao Tsai. (2016) On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes. Journal of Applied Probability 49:2, pages 531-548.
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Yuan-Chung Sheu & Ming-Yao Tsai. (2016) On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes. Journal of Applied Probability 49:02, pages 531-548.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:1, pages 22-39.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:01, pages 22-39.
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F. Dufour & A. B. Piunovskiy. (2016) Multiobjective Stopping Problem for Discrete-Time Markov Processes: Convex Analytic Approach. Journal of Applied Probability 47:4, pages 947-966.
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F. Dufour & A. B. Piunovskiy. (2016) Multiobjective Stopping Problem for Discrete-Time Markov Processes: Convex Analytic Approach. Journal of Applied Probability 47:04, pages 947-966.
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G. Deligiannidis, H. Le & S. Utev. (2016) Optimal Stopping for Processes with Independent Increments, and Applications. Journal of Applied Probability 46:4, pages 1130-1145.
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G. Deligiannidis, H. Le & S. Utev. (2016) Optimal Stopping for Processes with Independent Increments, and Applications. Journal of Applied Probability 46:04, pages 1130-1145.
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Александр Александрович Новиков, Aleksandr Aleksandrovich Novikov, Александр Александрович Новиков & Aleksandr Aleksandrovich Novikov. (2008) Несколько замечаний о распределении времени первого выхода и оптимальной остановке AR(1)-последовательностейOn Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 53:3, pages 458-471.
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. (2016) APR volume 31 issue 2 Cover and Back matter. Advances in Applied Probability 31:2, pages b1-b2.
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. (2016) Advances in Applied Probability Volume 30 (1998): Index: General Applied Probability . Advances in Applied Probability 30:4, pages 1157-1159.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2011) Preemption Games Under Levy Uncertainty. SSRN Electronic Journal.
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Svetlana I. Boyarchenko & Sergei Z. Levendorskii. (2010) Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs. SSRN Electronic Journal.
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