Abstract:We establish a systematic solution method for optimal stopping problems of spectrally negative Lévy processes. Our approach relies essentially on potential theory, that is, on the analysis of superharmonic and subharmonic functions and their analytic properties, including the maximum principle. Using these mathematical results, we not only derive necessary and sufficient conditions of optimality for a broad class of reward functions, but also develop a method to tackle general problems in a direct and constructive way (without pre-specifying the solution form). To reinforce the latter point, we also present several examples with complex solution structures that illustrate the effectiveness of our approach, including continuation regions with multiple connected components.
From: Tomohiro Koike [view email]
[v1]
Thu, 12 Jun 2025 10:04:52 UTC (421 KB)
[v2]
Thu, 11 Sep 2025 04:43:02 UTC (304 KB)
[v3]
Tue, 24 Feb 2026 09:55:51 UTC (397 KB)
[v4]
Wed, 19 Aug 2026 10:03:55 UTC (299 KB)
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