Two-sided optimal stopping for Lévy processes
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 t...
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| Other Authors: | |
| Format: | article |
| Language: | English |
| Published: |
2021
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| Online Access: | https://hdl.handle.net/20.500.12008/37395 |
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| _version_ | 1868890043777548288 |
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| author | Mordecki, Ernesto |
| author2 | Oliú Eguren, Facundo |
| author2_role | author |
| author_browse | Mordecki, Ernesto Oliú Eguren, Facundo |
| author_facet | Mordecki, Ernesto Oliú Eguren, Facundo |
| author_role | author |
| collection | COLIBRI |
| dc.contributor.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.none.fl_str_mv | 2021 2023-06-02T15:30:54Z 2023-06-02T15:30:54Z |
| dc.format.none.fl_str_mv | 12 h. application/pdf |
| dc.identifier.none.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. 10083-589X https://hdl.handle.net/20.500.12008/37395 10.1214/21-ecp376 |
| dc.language.none.fl_str_mv | en eng |
| dc.publisher.none.fl_str_mv | Institute of Mathematical Statistics and Bernoulli Society |
| dc.relation.none.fl_str_mv | Electronic Communications in Probability, 2021, 26: article no. 9. |
| dc.rights.none.fl_str_mv | info:eu-repo/semantics/openAccess Licencia Creative Commons Atribución (CC - By 4.0) |
| dc.source.none.fl_str_mv | reponame:COLIBRI instname:Universidad de la República instacron:Universidad de la República |
| dc.subject.none.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.none.fl_str_mv | Artículo info:eu-repo/semantics/article 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 | anni_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 | anni |
| network_name_str | oai-lr-anni |
| oai_identifier_str | oai:colibri.udelar.edu.uy:20.500.12008/37395 |
| publishDate | 2021 |
| publishDateSort | 2021 |
| publisher.none.fl_str_mv | Institute of Mathematical Statistics and Bernoulli Society |
| reponame_str | COLIBRI |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| rights_invalid_str_mv | Licencia Creative Commons Atribución (CC - By 4.0) |
| spelling | Two-sided optimal stopping for Lévy processesMordecki, ErnestoOliú Eguren, FacundoOptimal stoppingLévy processesTwo sided problemsInfinite 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.Institute of Mathematical Statistics and Bernoulli SocietyMordecki 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.2023-06-02T15:30:54Z2023-06-02T15:30:54Z2021Artículoinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion12 h.application/pdfMordecki 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-ecp376reponame:COLIBRIinstname:Universidad de la Repúblicainstacron:Universidad de la RepúblicaenengElectronic 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)oai:colibri.udelar.edu.uy:20.500.12008/373952026-04-14T10:10:04Z |
| 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 |