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2021 Two-sided optimal stopping for Lévy processes
Ernesto Mordecki, Facundo Oliú Eguren
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Electron. Commun. Probab. 26: 1-12 (2021). DOI: 10.1214/21-ECP376

Abstract

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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Ernesto Mordecki. Facundo Oliú Eguren. "Two-sided optimal stopping for Lévy processes." Electron. Commun. Probab. 26 1 - 12, 2021. https://doi.org/10.1214/21-ECP376

Information

Received: 13 December 2019; Accepted: 27 January 2021; Published: 2021
First available in Project Euclid: 23 March 2021

Digital Object Identifier: 10.1214/21-ECP376

Subjects:
Primary: 60G40

JOURNAL ARTICLE
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