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  • Christensen, Sören, 1982, et al. (author)
  • Optimal stopping of strong Markov processes
  • 2013
  • In: Stochastic Processes and their Applications. - : Elsevier BV. - 0304-4149. ; 123:3, s. 1138-1159
  • Journal article (peer-reviewed)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.
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