Optimal stopping of strong Markov processes

Sören Christensen, Paavo Salminen and Bao Quoc Ta

Stochastic Processes and their Applications, 2013, vol. 123, issue 3, 1138-1159

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.

Keywords: Optimal stopping problem; Markov processes; Hunt processes; Lévy processes; Supremum representation for excessive functions (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:3:p:1138-1159

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DOI: 10.1016/j.spa.2012.11.006

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