Optimal stopping problems for some Markov processes

DOI10.1214/11-AAP795zbMATH Open1246.60065arXiv1106.3158OpenAlexW3101216347WikidataQ60920724 ScholiaQ60920724MaRDI QIDQ433913FDOQ433913

Authors: Mamadou Cissé, Pierre Patie, Etienne Tanré 

Publication date: 8 July 2012

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

Abstract: In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller processes. This generalizes the result of Beibel and Lerche [Statist. Sinica 7 (1997) 93-108] and [Teor. Veroyatn. Primen. 45 (2000) 657-669] and Irles and Paulsen [Sequential Anal. 23 (2004) 297-316]. Our approach relies on a combination of techniques borrowed from potential theory and stochastic calculus. We illustrate our results by detailing some new examples ranging from linear diffusions to Markov processes of the spectrally negative type.

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

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zbMATH Keywords

optimal stopping problemsFeller processesexcessive functionsDoob's \(h\)-transform

Mathematics Subject Classification ID

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

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Cited In (31)

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