The monotone case approach for the solution of certain multidimensional optimal stopping problems

DOI10.1016/J.SPA.2019.06.009zbMATH Open1440.60034arXiv1705.01763OpenAlexW2953115594MaRDI QIDQ1986010FDOQ1986010

Authors: Sören Christensen, Albrecht Irle 

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This paper studies explicitly solvable multidimensional optimal stopping problems of sum- and product-type in discrete and continuous time using the monotone case approach. It gives a review on monotone case stopping using the Doob decomposition, resp. Doob-Meyer decomposition in continuous time, also in its multiplicative versions. The approach via these decompositions leads to explicit solutions for a variety of examples, including multidimensional versions of the house-selling and burglar's problem, the Poisson disorder problem, and an optimal investment problem.

Full work available at URL: https://arxiv.org/abs/1705.01763

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zbMATH Keywords

Doob-Meyer decompositionoptimal stoppingoptimal investment problemPoisson disorder problemmonotone stopping rulesmultiple buying-selling

Mathematics Subject Classification ID

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

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