Publication Cover
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

Examples of optimal stopping via measure transformation for processes with one-sided jumps

Pages 303-307 | Received 02 May 2006, Accepted 13 Jun 2006, Published online: 05 Nov 2008

References

  • Beibel , M. and Lerche , H.R. 1997 . New look at optimal stopping problems related to mathematical finance . Statistica Sinica , 7 : 93 – 108 .
  • Bertoin , J. 1996 . Lévy Processes , Cambridge University Press .
  • Novikov , A. 2003 . Martingales and first-passage times for Ornstein-Uhlenbeck processes with a jump component . Theory of Probability and Its Applications , 48 : 288 – 303 .
  • Sato , K. 1999 . Lévy Processes and Infinitely Divisible Distributions , Cambridge University Press .
  • Shepp , L.A. 1969 . Explicit solutions to some problems of optimal stopping . Annals of Mathematical Statistics , 40 : 993 – 1010 .
  • Taylor , H.M. 1968 . Optimal stopping in a Markov process . Annals of Mathematical Statistics , 39 : 1333 – 1344 .

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