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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| Format: | article |
| Language: | English |
| Published: |
2021
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| Online Access: | https://hdl.handle.net/20.500.12008/37395 |
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