General optimal stopping with linear cost

DOI10.1080/07474946.2022.2043047zbMATH Open1495.60030arXiv2001.09470OpenAlexW4280650711MaRDI QIDQ5085243FDOQ5085243

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Publication date: 27 June 2022

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: This article treats both discrete time and continuous time stopping problems for general Markov processes on the real line with general linear costs. Using an auxiliary function of maximum representation type, conditions are given to guarantee the optimal stopping time to be of threshold type. The optimal threshold is then characterized as the root of that function. For random walks our results condense in the fact that all combinations of concave increasing pay-off functions and convex cost functions lead to a one-sided solution. For L'evy processes an explicit way to obtain the auxiliary function and the threshold is given by use of the ladder height processes. Lastly, the connection from discrete and continuous problem and possible approximation of the latter one via the former one is discussed.

Full work available at URL: https://arxiv.org/abs/2001.09470

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zbMATH Keywords

optimal stoppingcontinuous timediscrete timemonotone stopping rulesmaximum representationsequential tests of power one

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited In (6)

• Logconcave reward functions and optimal stopping rules of threshold form
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• Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
• An effective method for the explicit solution of sequential problems on the real line
• A general method for finding the optimal threshold in discrete time
• Solving Problems of Optimal Stopping with Linear Costs of Observations

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