Resolvent-Techniques for Multiple Exercise Problems
Artikel i vetenskaplig tidskrift, 2015

© 2014, Springer Science+Business Media New York. We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying dynamics. Our main tool is using the resolvent operator. In the first part, we reduce infinite stopping problems to ordinary ones in a general strong Markov setting. This leads to explicit solutions for wide classes of such problems. Starting from this result, we analyze problems with finitely many exercise rights and explain solution methods for some classes of problems with underlying Lévy and diffusion processes, where the optimal characteristics of the problems can be identified more explicitly. We illustrate the main results with explicit examples.

Lévy process

Resolvent operator

Strong Markov process

Diffusion process

Stochastic impulse control

Optimal multiple stopping

Författare

Sören Christensen

J. Lempa

Applied Mathematics and Optimization

0095-4616 (ISSN) 1432-0606 (eISSN)

Vol. 71 1 95-123

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1007/s00245-014-9254-4