{
  "id": "1203.4726",
  "version": "v2",
  "published": "2012-03-21T12:58:22.000Z",
  "updated": "2012-04-02T16:04:23.000Z",
  "title": "Optimal stopping of strong Markov processes",
  "authors": [
    "Sören Christensen",
    "Paavo Salminen",
    "Bao Quoc Ta"
  ],
  "comment": "1 figure",
  "categories": [
    "math.PR"
  ],
  "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 L\\'evy 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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2012-04-02T16:04:23.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "60J25",
      "62L15"
    ],
    "keywords": [
      "strong markov processes",
      "fairly general markov process",
      "optimal stopping time",
      "wiener-hopf factorization",
      "levy processes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1203.4726C"
    }
  }
}