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

页码：611 / 622

页数：12

共 50 条

[21] On a new Wiener-Hopf factorization by Alili and Doney
Marchal, P
[J]. SEMINAIRE DE PROBABILITES XXXV, 2001, 1755 : 416 - 420
[22] WIENER-HOPF FACTORIZATION OF BROWNIAN-MOTION
MCGILL, P
[J]. PROBABILITY THEORY AND RELATED FIELDS, 1989, 83 (03) : 355 - 389
[23] On the Volterra Factorization of the Wiener-Hopf Integral Operator
Arabadzhyan, L. G.
[J]. MATHEMATICAL NOTES, 2021, 110 (1-2) : 161 - 166
[24] ASYMPTOTIC FACTORIZATION IN NONDISSIPATIVE WIENER-HOPF PROBLEMS
KRANZER, HC
[J]. JOURNAL OF MATHEMATICS AND MECHANICS, 1967, 17 (06): : 577 - &
[25] On the Wiener-Hopf factorization for a class of random walks
Lotov, VI
[J]. DOKLADY AKADEMII NAUK, 1996, 348 (02) : 162 - 164
[26] Wiener-Hopf Factorization Through an Intermediate Space
Speck, Frank-Olme
[J]. INTEGRAL EQUATIONS AND OPERATOR THEORY, 2015, 82 (03) : 395 - 415
[27] ON WIENER-HOPF FACTORIZATION OF MEROMORPHIC MATRIX FUNCTIONS
ADUKOV, VM
[J]. INTEGRAL EQUATIONS AND OPERATOR THEORY, 1991, 14 (06) : 767 - 774
[28] Wiener-Hopf factorization for a class of oscillatory symbols
M. C. Câmara
A. F. dos Santos
[J]. Integral Equations and Operator Theory, 2000, 36 : 409 - 432
[29] THE EXPLICIT WIENER-HOPF FACTORIZATION OF A SPECIAL MATRIX
RAWLINS, AD
[J]. ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND MECHANIK, 1981, 61 (10): : 527 - 528
[30] The application of Pade approximants to Wiener-Hopf factorization
Abrahams, ID
[J]. IMA JOURNAL OF APPLIED MATHEMATICS, 2000, 65 (03) : 257 - 281

← 1 2 3 4 5 →