Two-sided optimal stopping for Lévy processes
Resumen:
Infinite horizon optimal stopping problems for a Lévy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A result to compute the angle of the value function at the optimal thresholds of the stopping region is given. To illustrate the results, the optimal stopping problem of a compound Poisson process with two-sided exponential jumps and a two-sided payoff function is solved. In this example, the smooth-pasting condition does not hold.
| 2021 | |
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Optimal stopping Lévy processes Two sided problems |
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| Inglés | |
| Universidad de la República | |
| COLIBRI | |
| https://hdl.handle.net/20.500.12008/37395 | |
| Acceso abierto | |
| Licencia Creative Commons Atribución (CC - By 4.0) |
| Sumario: | Infinite horizon optimal stopping problems for a Lévy processes with a two-sided reward function are considered. A two-sided verification theorem is presented in terms of the overall supremum and the overall infimum of the process. A result to compute the angle of the value function at the optimal thresholds of the stopping region is given. To illustrate the results, the optimal stopping problem of a compound Poisson process with two-sided exponential jumps and a two-sided payoff function is solved. In this example, the smooth-pasting condition does not hold. |
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