Optimal stopping for L\'evy processes and affine functions
Probability
2008-12-18 v1
Abstract
This paper studies an optimal stopping problem for L\'evy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also justify the convexity of the value function, and without a priori restriction to a particular class of stopping times, we deduce that the smallest optimal stopping time is necessarily a hitting time. We propose a method which allows to obtain the optimal threshold. Moreover this method allows to avoid long calculations of the integro-differential operatorused in the usual proofs.
Keywords
Cite
@article{arxiv.0804.3277,
title = {Optimal stopping for L\'evy processes and affine functions},
author = {Diana Dorobantu},
journal= {arXiv preprint arXiv:0804.3277},
year = {2008}
}
Comments
32 pages