Optimal stopping of strong Markov processes

Details Optimal stopping of strong Markov processes Optimal stopping of strong Markov processes

2012-03-21

arxiv.org/abs/1203.4726v2

Mathematics

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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 L\'evy processes obtained essentially via the Wiener-Hopf factorization. The main ingredient in our approach is the representation of the $\beta$-excessive functions as expected suprema. A variety of examples is given.

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