1. |
|
|
2. |
- Christensen, Sören, 1982, et al.
(författare)
-
Optimal stopping of strong Markov processes
- 2013
-
Ingår i: Stochastic Processes and their Applications. - : Elsevier BV. - 0304-4149. ; 123:3, s. 1138-1159
-
Tidskriftsartikel (refereegranskat)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. © 2012 Elsevier B.V. All rights reserved.
|
|
3. |
|
|
4. |
|
|