Optimal stopping of strong Markov processes |
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Authors: | Sö ren Christensen,Paavo Salminen,Bao Quoc Ta |
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Affiliation: | 1. Christian-Albrechts-Universität, Mathematisches Seminar, Ludewig-Meyn-Str.4, D-24098 Kiel, Germany;2. Åbo Akademi, Mathematical Department, Fänriksgatan 3 B, FIN-20500 Åbo, Finland |
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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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Keywords: | Optimal stopping problem Markov processes Hunt processes Lé vy processes Supremum representation for excessive functions |
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