کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155706 958759 2013 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal stopping of strong Markov processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Optimal stopping of strong Markov processes
چکیده انگلیسی

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 ββ-excessive functions as expected suprema. A variety of examples is given.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 3, March 2013, Pages 1138–1159
نویسندگان
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