Two-sided optimal stopping for L\'evy processes
Probability
2019-12-18 v1
Abstract
Infinite horizon optimal stopping problems for a L\'evy 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.
Cite
@article{arxiv.1912.08171,
title = {Two-sided optimal stopping for L\'evy processes},
author = {Ernesto Mordecki and Facundo Oliú Eguren},
journal= {arXiv preprint arXiv:1912.08171},
year = {2019}
}
Comments
14 pages, 2 figures