Sequential testing problems for Poisson processes

By Goran Peskir, Albert N. Shiryaev. 2000

105 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/871aa0eb5f429b4a6f894f6b88720f22343f1434

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In Statistics and Probability

Citations in the corpus

Fluctuations of Lévy Processes with Applications (2014, background): “The following results are due to Pistorius (2004). Alternative proofs are also given in Doney (2005, 2007).”
Russian and American put options under exponential phase-type Lévy models (2004, unknown): “[44]) and smooth fit respectively.”
Exit problems for spectrally negative Levy processes and applications to (Canadized) Russian options (2004, background): “Russian options were originally introduced by Shepp and Shiryaev [25, 26] within the context of the Black–Scholes market (the case that the underlying Lévy process is a Brownian motion with drift).”
Solving the Poisson Disorder Problem (2002, background): “Solving the free-boundary problem (3.1).”
The McKean stochastic game driven by a spectrally negative Lévy process (2008, background): “See for example Boyarchenko and Levendorskii (2002) Chan (2004), Peskir and Shiryaev (2000, 2002), Gapeev (2002), Kyprianou (2005) and Surya (2007).”
Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes (2007, background): “The key point to note when solving optimal stopping problems for the jump processes established in [27] and [28] is that the smooth-fit condition at the optimal boundary may break down and then needs replacing by the continuous-fit condition; see also [1] for necessary and sufficient conditions for ”
Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”