Abstract
In this paper we study the optimal stopping problem for Lévy processes studied by Novikov and Shiryayev, Stochastics, 2007 In particular, we are interested in finding the representing measure of the value function. It is seen that that this can be expressed in terms of the Appell polynomials. An important tool in our approach and computations is the Wiener-Hopf factorization.
Connections
Explore this paper’s authors, topics and related work.
Building this map preview
BZPEER is loading the nearby papers, people, topics and institutions for this page.
Reviews 0
Write a review
No reviews yet.
Discussion 0
Add a comment
No comments yet.