English

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

R2 v1 2026-06-21T10:33:03.219Z