Optimal stopping of strong Markov processes

Abstract

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings for Lévy processes obtained essentially via the Wiener-Hopf factorization. The main ingredient in our approach is the representation of the $\beta$-excessive functions as expected suprema. A variety of examples is given.

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References in corpus (1)

• Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance

Cited by in corpus (1)

• Optimal Stopping for Strong Markov Processes: Explicit solutions and verification theorems for diffusions, multidimensional diffusions, and jump-processes