Electronic Communications in Probability

On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time

Andreas Kyprianou and Budhi Surya

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Abstract

Novikov and Shiryaev (2004) give explicit solutions to a class of optimal stopping problems for random walks based on other similar examples given in Darling et al. (1972). We give the analogue of their results when the random walk is replaced by a Lévy process. Further we show that the solutions show no contradiction with the conjecture given in Alili and Kyprianou (2004) that there is smooth pasting at the optimal boundary if and only if the boundary of the stopping reigion is irregular for the interior of the stopping region.

Article information

Source
Electron. Commun. Probab., Volume 10 (2005), paper no. 15, 146-154.

Dates
Accepted: 22 July 2005
First available in Project Euclid: 4 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465058080

Digital Object Identifier
doi:10.1214/ECP.v10-1144

Mathematical Reviews number (MathSciNet)
MR2162814

Zentralblatt MATH identifier
1111.60024

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Kyprianou, Andreas; Surya, Budhi. On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time. Electron. Commun. Probab. 10 (2005), paper no. 15, 146--154. doi:10.1214/ECP.v10-1144. https://projecteuclid.org/euclid.ecp/1465058080


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References

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