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On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time


 
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1. Title Title of document On the Novikov-Shiryaev Optimal Stopping Problems in Continuous Time
 
2. Creator Author's name, affiliation, country Andreas Eou Kyprianou; Heriot-Watt University, UK
 
2. Creator Author's name, affiliation, country Budhi A. Surya; Mathematical Institute, Budapestlaan 6, The Netherlands
 
3. Subject Discipline(s)
 
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4. Description 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.
 
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7. Date (YYYY-MM-DD) 2005-07-22
 
8. Type Status & genre Peer-reviewed Article
 
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9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1144
 
10. Identifier Digital Object Identifier 10.1214/ECP.v10-1144
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 10
 
12. Language English=en
 
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