Resolvent-techniques for multiple exercise problems (Q2340991): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Resolvent-techniques for multiple exercise problems |
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Resolvent-techniques for multiple exercise problems (English)
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21 April 2015
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The main contribution of the paper is to reduce infinite stopping problems to ordinary ones by using resolvent operators in a general strong Markov setting. Based on this result, the authors can get explicit solutions of optimal multiple stopping problems for strong Markov processes with exponentially distributed random refraction periods. Detailed case studies with underlying Lévy and diffusion processes are also conducted.
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optimal multiple stopping
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stochastic impulse control
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strong Markov processes
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Lévy process
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diffusion process
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resolvent operator
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