The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  1. Alili, L. and Kyprianou, A.E. (2004) Some remarks on first passage of Lévy processes, the American put and smooth pasting. Ann. Appl. Probab. 15, 2062 -- 2080.
  2. Bertoin, J. (1997) Regularity of the half-line for Lévy processes. Bull. Sci. Math. 121, 345--354. Math. Review 98m:60115
  3. Boyarchenko, S.I. and Levendorski\v{i}, S.Z. (2002) Non-Gaussian Merton-Black-Scholes theory. Advanced Series on Statistical Science & Applied Probability, 9. World Scientific Publishing Co., Inc., River Edge, NJ. Math. Review 2003f:91048
  4. Darling, D. A., Liggett, T. and Taylor, H. M. (1972) Optimal stopping for partial sums. Ann. Math. Statist. 43, 1363--1368. Math. Review 47 #1121
  5. Lukacs, E. (1970) Characteristic functions. Second edition, revised and enlarged. Hafner Publishing Co., New York. Math. Review 49 #11595
  6. Mordecki, E. (2002) Optimal stopping and perpetual options for Lévy processes. Fin. Stoch. 6, 473--493. Math. Review 2003j:91059.
  7. Novikov, A. and Shiryaev, A. N. (2004) On an effective solution of the optimal stopping problem for random walks. To appear in Theory of Probability and Their Applications.
  8. Rogozin, B. A. (1968) The local behavior of processes with independent increments. Theory Probab. Appl. 13 507--512. Math. Review 39 #3593
  9. Sato, K. (1999) Lévy processes and infinitely divisible distributions. Cambridge University Press. Math. Review 2003b:60064
  10. Schoutens, W. (2000) Stochastic processes and orthogonal polynomials. Lecture Notes in Mathematics, nr. 146. Springer. Math. Review 2001f:60095
  11. Shtatland, E.S. (1965) On local properties of processes with independent incerements. Theory Probab. Appl. 10, 317--322. Math. Review 32 #504
Bookmark and Share


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.