Optimal stopping problems for some Markov processes

Details Optimal stopping problems for some Markov processes Optimal stopping problems for some Markov processes

2011-06-16

arxiv.org/abs/1106.3158v1

Mathematics

Probability

Scientific paper

In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller processes. This generalizes the result of Beibel and Lerche and Paulsen. Our approach relies on a combination of techniques borrowed from potential theory and stochastic calculus. We illustrate our results by detailing some new examples ranging from linear diffusions to Markov processes of the spectrally negative type.

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