Aug 28 – 31, 2018
Angers - France
Europe/Paris timezone

On multisided optimal stopping problems for Levy processes

Aug 29, 2018, 11:20 AM
Angers - France

Angers - France


Elena Boguslavskaya (Brunel University London)


In the last decades solving multisided optimal stopping problems was of interest.

We will show how to approach the above problems for Levy processes if the payoff function is an exponential polynomial (possibly multidimensional), and present several examples. The method we use is based on Appell integral transform.

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