2 papers
math.PR2017
Expected Supremum Representation of a Class of Single Boundary Stopping Problems
Luis H. R. Alvarez E., Pekka Matomäki
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establ…
q-fin.PR2013
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
Luis H. R. Alvarez E., Pekka Matomäki, Teppo A. Rakkolainen
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of…