Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25143
Authors: 
Gapeev, Pavel V.
Year of Publication: 
2006
Series/Report no.: 
SFB 649 discussion paper 2006,060
Abstract: 
We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth fit may break down and the latter then be replaced by the continuous fit. The derived result is applied for determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps.
Document Type: 
Working Paper

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