Optimal stopping of strong Markov processes

2012/03/21 by Christensen, Sören, Salminen, Paavo, Ta, Bao Quoc · 1 citation
#60G40 #60J25 #62L15 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1203.4726

Abstract

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.

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