Optimal Stopping Problems for Some MarkovProcesses

In this paper, we solve explicitly the optimal stopping problem with randomdiscounting and an additive functional as cost of observations for a regular linear diusion.We also extend the results to the class of one-sided regular Feller processes.[...]

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Year of publication:	2010-06-01
Authors:	Cissé, Mamadou ; Patie, Pierre ; Tanré, Etienne
Institutions:	Swiss National Centre of Competence in Research North South <Bern> 10079371-X
Subject:	Stochastik \| Markov-Prozess \| Diskontierungsfaktor \| discount factor

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Extent:	365568 bytes 22 p. application/pdf
Series:	FINRISK Working Papers Series Working Paper ; No. 622 (2010)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Subject matter and research method of business administration ; Corporate statistics and corporate cost accounting ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009305084