Optimal stopping of strong Markov processes
Artikel i vetenskaplig tidskrift, 2013
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings for Lévy processes obtained essentially via the Wiener-Hopf factorization. The main ingredient in our approach is the representation of the β-excessive functions as expected suprema. A variety of examples is given. © 2012 Elsevier B.V. All rights reserved.
Markov processes
Lévy processes
Hunt processes
Optimal stopping problem
Supremum representation for excessive functions
Författare
Sören Christensen
P. Salminen
B.Q. Ta
Stochastic Processes and their Applications
0304-4149 (ISSN)
Vol. 123 3 1138-1159Ämneskategorier
Sannolikhetsteori och statistik
DOI
10.1016/j.spa.2012.11.006