The shape of the value function under Poisson optimal stopping

DOI10.1016/J.SPA.2020.12.001MaRDI QIDQ1994915zbMATH OpenOpenAlexFDO

Authors David Hobson

Publication date 18 February 2021

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

Full work available at URL https://arxiv.org/abs/2003.03834

zbMATH Keywords

couplingdiffusion processmonotonicity and convexityPoisson optimal stoppingtime-change

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Abstract: In a classical problem for the stopping of a diffusion process $(X_t{)}_{tgeq0}$, where the goal is to maximise the expected discounted value of a function of the stopped process $$, maximisation takes place over all stopping times $au$. In a Poisson optimal stopping problem, stopping is restricted to event times of an independent Poisson process. In this article we consider whether the resulting value function $$ (where the supremum is taken over stopping times taking values in the event times of an inhomogeneous Poisson process with rate $heta=(heta(X_t){)}_{tgeq0}$) inherits monotonicity and convexity properties from $g$. It turns out that monotonicity (respectively convexity) of $V_{h}eta$ in $x$ depends on the monotonicity (respectively convexity) of the quantity $$ rather than $g$. Our main technique is stochastic coupling.

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Cited in

(10)

• Monotonicity of the value function for a two-dimensional optimal stopping problem
• A zero-sum Poisson stopping game with asymmetric signal rates
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
• Constrained optimal stopping under a regime-switching model
• Two-sided Poisson control of linear diffusions
• Callable convertible bonds under liquidity constraints and hybrid priorities
• Recursive optimal stopping with Poisson stopping constraints
• Discounted nonzero-sum optimal stopping games under Poisson random intervention times
• Zero-sum Dynkin games under common and independent Poisson constraints

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