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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

An approach for solving perpetual optimal stopping problems driven by Lévy processes

B. A. Surya Mathematical Institute, University of Utrecht, Budapestlaan 6, 3584 CD, Utrecht, The NetherlandsCorrespondence[email protected]
Pages 337-361 | Received 08 May 2006, Accepted 08 Nov 2006, Published online: 05 Nov 2008

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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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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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Ming-Chi Chang, Yuan-Chung Sheu & Ming-Yao Tsai. (2015) Pricing Perpetual American Compound Options under a Matrix-Exponential Jump-Diffusion Model. Applied Mathematical Finance 22:6, pages 553-575.
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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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Articles from other publishers (21)

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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Kei Noba & Kazutoshi Yamazaki. (2023) On Singular Control for Lévy Processes. Mathematics of Operations Research 48:3, pages 1213-1234.
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Ernesto Mordecki & Facundo Oliú Eguren. (2021) Two-sided optimal stopping for Lévy processes. Electronic Communications in Probability 26:none.
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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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Neofytos Rodosthenous & Hongzhong Zhang. (2018) Beating the omega clock: An optimal stopping problem with random time-horizon under spectrally negative Lévy models. The Annals of Applied Probability 28:4.
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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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Masahiko Egami & Kazutoshi Yamazaki. (2016) On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. Advances in Applied Probability 46:1, pages 139-167.
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Masahiko Egami & Kazutoshi Yamazaki. (2016) On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. Advances in Applied Probability 46:01, pages 139-167.
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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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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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. (2016) APR volume 31 issue 2 Cover and Back matter. Advances in Applied Probability 31:2, pages b1-b2.
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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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