Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/25143
Autoren: 
Gapeev, Pavel V.
Datum: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,060
Zusammenfassung: 
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.
Dokumentart: 
Working Paper

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