英文标题：
《On the optimality of threshold type strategies in single and recursive
optimal stopping under L\\\'evy models》
---
作者：
Mingsi Long and Hongzhong Zhang
---
最新提交年份：
2018
---
英文摘要：
In the spirit of [Surya07\'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of L\\\'evy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and random discounting, where we present two examples of local time and occupation time discounting. We then apply this approach to recursive optimal stopping problems, and present simpler and neater proofs for a number of important results on qualitative properties of the optimal thresholds, which are only known under a few special cases.
---
中文摘要：
本着[Surya07\'的精神，我们开发了一种平均问题方法来证明阈值型策略的最优性，用于在连续加性泛函（CAF）贴现的情况下最优停止L挈vy模型。在谱负模型下，我们专门针对奖励函数和随机折扣的条件进行研究，其中我们给出了两个当地时间和占用时间折扣的例子。然后，我们将这种方法应用于递归最优停止问题，并对一些关于最优阈值定性性质的重要结果给出了更简单、更简洁的证明，这些结果仅在少数特殊情况下已知。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->