Optimal stopping, Appell polynomials and Wiener-Hopf factorization representations of excessive functions of Lévy processes

2010/02/19 by Paavo Salminen, Salminen, Paavo · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #60G40 #60J25 #60J30 #60J60 #60J75 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1002.3746

openalex publication_date 2010/02/19 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

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.

Citations

• Optimal Stopping for Partial Sums

Cited by

• Degenerate Sheffer-type polynomials and degenerate Sheffer polynomials associated with a random variable

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