Optimal stopping problems for some Markov processes

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Optimal stopping problems for some Markov processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal stopping problems for some Markov processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal stopping problems for some Markov processes will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-189588

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.