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) |
| _version_ | 1807522795079335936 |
|---|---|
| author | Mordecki, Ernesto |
| author2 | Oliú Eguren, Facundo |
| author2_role | author |
| author_facet | Mordecki, Ernesto Oliú Eguren, Facundo |
| author_role | author |
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| collection | COLIBRI |
| dc.contributor.filiacion.none.fl_str_mv | Mordecki Ernesto, Universidad de la República (Uruguay). Facultad de Ciencias. Centro de Matemática. Oliú Eguren Facundo, Universidad de la República (Uruguay). Facultad de Ciencias. Centro de Matemática. |
| dc.creator.none.fl_str_mv | Mordecki, Ernesto Oliú Eguren, Facundo |
| dc.date.accessioned.none.fl_str_mv | 2023-06-02T15:30:54Z |
| dc.date.available.none.fl_str_mv | 2023-06-02T15:30:54Z |
| dc.date.issued.none.fl_str_mv | 2021 |
| dc.description.abstract.none.fl_txt_mv | 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. |
| dc.format.extent.es.fl_str_mv | 12 h. |
| dc.format.mimetype.es.fl_str_mv | application/pdf |
| dc.identifier.citation.es.fl_str_mv | Mordecki Pupko, E y Oliú Eguren, F. "Two-sided optimal stopping for Lévy processes". Electronic Communications in Probability. [en línea] 2021, 26: article no. 9. 12 h. DOI: 10.1214/21-ecp376. |
| dc.identifier.doi.none.fl_str_mv | 10.1214/21-ecp376 |
| dc.identifier.issn.none.fl_str_mv | 10083-589X |
| dc.identifier.uri.none.fl_str_mv | https://hdl.handle.net/20.500.12008/37395 |
| dc.language.iso.none.fl_str_mv | en eng |
| dc.publisher.es.fl_str_mv | Institute of Mathematical Statistics and Bernoulli Society |
| dc.relation.ispartof.es.fl_str_mv | Electronic Communications in Probability, 2021, 26: article no. 9. |
| dc.rights.license.none.fl_str_mv | Licencia Creative Commons Atribución (CC - By 4.0) |
| dc.rights.none.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.source.none.fl_str_mv | reponame:COLIBRI instname:Universidad de la República instacron:Universidad de la República |
| dc.subject.es.fl_str_mv | Optimal stopping Lévy processes Two sided problems |
| dc.title.none.fl_str_mv | Two-sided optimal stopping for Lévy processes |
| dc.type.es.fl_str_mv | Artículo |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/article |
| dc.type.version.none.fl_str_mv | info:eu-repo/semantics/publishedVersion |
| description | 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. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | COLIBRI_4e29d69bfd3335ca06a2d8469ef9529a |
| identifier_str_mv | Mordecki Pupko, E y Oliú Eguren, F. "Two-sided optimal stopping for Lévy processes". Electronic Communications in Probability. [en línea] 2021, 26: article no. 9. 12 h. DOI: 10.1214/21-ecp376. 10083-589X 10.1214/21-ecp376 |
| instacron_str | Universidad de la República |
| institution | Universidad de la República |
| instname_str | Universidad de la República |
| language | eng |
| language_invalid_str_mv | en |
| network_acronym_str | COLIBRI |
| network_name_str | COLIBRI |
| oai_identifier_str | oai:colibri.udelar.edu.uy:20.500.12008/37395 |
| publishDate | 2021 |
| reponame_str | COLIBRI |
| repository.mail.fl_str_mv | mabel.seroubian@seciu.edu.uy |
| repository.name.fl_str_mv | COLIBRI - Universidad de la República |
| repository_id_str | 4771 |
| rights_invalid_str_mv | Licencia Creative Commons Atribución (CC - By 4.0) |
| spelling | Mordecki Ernesto, Universidad de la República (Uruguay). Facultad de Ciencias. Centro de Matemática.Oliú Eguren Facundo, Universidad de la República (Uruguay). Facultad de Ciencias. Centro de Matemática.2023-06-02T15:30:54Z2023-06-02T15:30:54Z2021Mordecki Pupko, E y Oliú Eguren, F. "Two-sided optimal stopping for Lévy processes". Electronic Communications in Probability. [en línea] 2021, 26: article no. 9. 12 h. DOI: 10.1214/21-ecp376.10083-589Xhttps://hdl.handle.net/20.500.12008/3739510.1214/21-ecp376Infinite 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.Submitted by Parodi Mónica (mparodi@fcien.edu.uy) on 2023-03-17T18:20:38Z No. of bitstreams: 2 license_rdf: 19875 bytes, checksum: 9fdbed07f52437945402c4e70fa4773e (MD5) 10121421ecp376.pdf: 224538 bytes, checksum: bb30203b43ce5020b050278c2a9968b1 (MD5)Approved for entry into archive by Faget Cecilia (lfaget@fcien.edu.uy) on 2023-06-02T14:17:38Z (GMT) No. of bitstreams: 2 license_rdf: 19875 bytes, checksum: 9fdbed07f52437945402c4e70fa4773e (MD5) 10121421ecp376.pdf: 224538 bytes, checksum: bb30203b43ce5020b050278c2a9968b1 (MD5)Made available in DSpace by Luna Fabiana (fabiana.luna@seciu.edu.uy) on 2023-06-02T15:30:54Z (GMT). No. of bitstreams: 2 license_rdf: 19875 bytes, checksum: 9fdbed07f52437945402c4e70fa4773e (MD5) 10121421ecp376.pdf: 224538 bytes, checksum: bb30203b43ce5020b050278c2a9968b1 (MD5) Previous issue date: 202112 h.application/pdfenengInstitute of Mathematical Statistics and Bernoulli SocietyElectronic Communications in Probability, 2021, 26: article no. 9.Las obras depositadas en el Repositorio se rigen por la Ordenanza de los Derechos de la Propiedad Intelectual de la Universidad de la República.(Res. Nº 91 de C.D.C. de 8/III/1994 – D.O. 7/IV/1994) y por la Ordenanza del Repositorio Abierto de la Universidad de la República (Res. Nº 16 de C.D.C. de 07/10/2014)info:eu-repo/semantics/openAccessLicencia Creative Commons Atribución (CC - By 4.0)Optimal stoppingLévy processesTwo sided problemsTwo-sided optimal stopping for Lévy processesArtículoinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionreponame:COLIBRIinstname:Universidad de la Repúblicainstacron:Universidad de la RepúblicaMordecki, ErnestoOliú Eguren, FacundoLICENSElicense.txtlicense.txttext/plain; charset=utf-84267http://localhost:8080/xmlui/bitstream/20.500.12008/37395/5/license.txt6429389a7df7277b72b7924fdc7d47a9MD55CC-LICENSElicense_urllicense_urltext/plain; charset=utf-844http://localhost:8080/xmlui/bitstream/20.500.12008/37395/2/license_urla0ebbeafb9d2ec7cbb19d7137ebc392cMD52license_textlicense_texttext/html; charset=utf-838552http://localhost:8080/xmlui/bitstream/20.500.12008/37395/3/license_text2fc523bba4df4b71d4fa008ef2dea84bMD53license_rdflicense_rdfapplication/rdf+xml; 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- Universidad de la Repúblicafalse |
| spellingShingle | Two-sided optimal stopping for Lévy processes Mordecki, Ernesto Optimal stopping Lévy processes Two sided problems |
| status_str | publishedVersion |
| title | Two-sided optimal stopping for Lévy processes |
| title_full | Two-sided optimal stopping for Lévy processes |
| title_fullStr | Two-sided optimal stopping for Lévy processes |
| title_full_unstemmed | Two-sided optimal stopping for Lévy processes |
| title_short | Two-sided optimal stopping for Lévy processes |
| title_sort | Two-sided optimal stopping for Lévy processes |
| topic | Optimal stopping Lévy processes Two sided problems |
| url | https://hdl.handle.net/20.500.12008/37395 |
