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First International Workshop in Sequential Methodologies (IWSM 2007)
July 22-25, 2007
Auburn University
Auburn, AL, U.S.A.

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Optimal stopping of Levy processes
by
Alexander Novikov
University of Technology, Sydney
Coauthors: Albert Shiryaev, Steklov Mathematical Institute, Moscow

We present some new results and discuss connections with classical results on explicit solutions of optimal stopping problems for different reward functions of Levy processes. The methods used are based on measure transformations and fluctuation identities for Levy processes.

Date received: April 22, 2007

Copyright © 2007 by the author(s). The author(s) of this document and the organizers of the conference have granted their consent to include this abstract in Atlas Conferences Inc. Document # cauc-86.