Optimal stopping of strong Markov processes

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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Year of publication:	2013
Authors:	Christensen, Sören ; Salminen, Paavo ; Ta, Bao Quoc
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 3, p. 1138-1159
Publisher:	Elsevier
Subject:	Optimal stopping problem \| Markov processes \| Hunt processes \| Lévy processes \| Supremum representation for excessive functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064929