Optimal Stopping, Ruin Probabilities and Prophet Inequalities for L Evy Processes
نویسنده
چکیده
Solution to the optimal stopping problem V (x) = sup E(x + X) + is given, where X = fXtg t0 is a L evy process, and the supremum is taken over the class of stopping times. Results are expressed in terms of the distribution of the random variable M = sup t Xt, under the hypothesis E(M) < +1, and simple conditions for this hypothesis to hold are given. Based on this, the prophet inequality V (x) E(x + M) eV (x) is obtained. Closed form solutions of the distribution of M are given for a wide class of L evy processes.
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Optimal Stopping and Perpetual Options for L Evy Processes Optimal Stopping and Perpetual Options for L Evy Processes
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