Optimal stopping problems for some Markov processes

DOI10.1214/11-AAP795zbMath1246.60065arXiv1106.3158OpenAlexW3101216347WikidataQ60920724 ScholiaQ60920724MaRDI QIDQ433913

Pierre Patie, Mamadou Cissé, Etienne Tanré

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1106.3158

zbMATH Keywords

Feller processesoptimal stopping problemsexcessive functionsDoob's \(h\)-transform

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (9)

Diffusion transformations, Black-Scholes equation and optimal stopping ⋮ General optimal stopping with linear cost ⋮ Minimal subharmonic functions and related integral representations ⋮ Multisource Bayesian sequential binary hypothesis testing problem ⋮ Unnamed Item ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models ⋮ First passage upwards for state-dependent-killed spectrally negative Lévy processes ⋮ Impulse control and expected suprema

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