References
- Abramowitz , M. and Stegun , I. 1970 . Mathematical functions , 9th printing , New York : Dover publications, Inc. .
- Bertoin , J. 1996 . Lévy Processes , Cambridge : Cambridge University Press .
- Borodin , A.N. and Salminen , P. 2002 . Handbook of Brownian Motion – Facts and Formulae, 2nd ed. , Basel/Boston, MA/Berlin : Birkhäuser .
- Darling , D.A. , Liggett , T. and Taylor , H.M. 1972 . Optimal stopping for partial sums . Ann. Math. Stat. , 43 : 1363 – 1368 .
- Kyprianou , A. 2006 . Introductory Lectures on Fluctuations of Lévy Processes with Applications , Berlin : Springer-Verlag .
- Kyprianou , A.E. and Surya , B.A. 2005 . On the Novikov–Shiryaev optimal stopping problems in continuous time . Electron. Commun. Probab. , 10 : 146 – 154 .
- Mordecki , E. 2002 . Optimal stopping and perpetual options for Lévy processes . Finance Stoch. , 6 ( 4 ) : 473 – 493 .
- Mordecki , E. and Salminen , P. 2007 . Optimal stopping of Hunt and Lévy processes . Stochas. Int. J. Prob. Stochas. Process , 79 ( 3–4 ) : 233 – 252 .
- Novikov , A. and Shiryaev , A.N. 2004 . On an effective solution of the optimal stopping problem for random walks . Theory of Probability and its Applications , 49 : 373 – 382 .
- Novikov , A. and Shiryaev , A.N. 2007 . On a solution of the optimal stopping problem for processes with independent increments . Stochas. Int. J. Prob. Stochas. Process ,
- Surya , B.A. 2007 . An approach for solving perpetual optimal stopping problems driven by Lévy processes . Stochas. Int. J. Prob. Stochas. Process , 79 ( 3–4 ) : 337 – 361 .