Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155706 | Stochastic Processes and their Applications | 2013 | 22 Pages |
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 ββ-excessive functions as expected suprema. A variety of examples is given.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Sören Christensen, Paavo Salminen, Bao Quoc Ta,