On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
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DOI: 10.1016/j.spa.2018.08.005
Abstract: In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of L\'evy models with a continuous additive functional (CAF) discounting. Under spectrally negative… read more here.
Keywords: threshold type; optimality threshold; recursive optimal; type strategies ... See more keywords