Solving the Poisson Disorder Problem

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The standard Poisson disorder problem revisited (2005, background): “Two special cases R(2) and R(4) in (1.2) have been recently solved by Peskir and Shiryaev (2002) and Bayraktar and Dayanik (2003), respectively.”
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 ”
Asymptotic Optimality of Change-Point Detection Schemes in General Continuous-Time Models (2006, background): “Furthermore, in continuous time the Bayesian solution is only available for the very limited set of models—for detecting a change in the constant drift of a Brownian motion (Shiryaev, 1963, 1978) and in the constant intensity of a Poisson process (Peskir and Shiryaev, 2002).”
The McKean stochastic game driven by a spectrally negative Lévy process (2008, methodology): “Combining these facts, (25), (26) and using Lemma 11 we find”
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”