Optimal stopping, Appell polynomials, and Wiener-Hopf factorization

被引：21
|
作者：
Salminen, Paavo [1 ]
机构：
[1] Abo Akad Univ, Dept Math, FIN-20500 Turku, Finland
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2011年 / 83卷 / 4-6期
关键词：
optimal stopping; Levy process; Wiener-Hopf factorization; Appell polynomial;
D O I：
10.1080/17442508.2011.552722
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we study the Novikov-Shiryaev optimal stopping problem for Levy processes. In particular, we are interested in finding the representing measure of the value function. It is seen that this can be expressed in terms of the Appell polynomials. For spectrally one-sided Levy processes, the results are appealing and explicit. An important tool in our approach and computations is the Wiener-Hopf factorization.
引用
收藏
页码：611 / 622
页数：12
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