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Title: Resolvent-Techniques for Multiple Exercise Problems

We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying dynamics. Our main tool is using the resolvent operator. In the first part, we reduce infinite stopping problems to ordinary ones in a general strong Markov setting. This leads to explicit solutions for wide classes of such problems. Starting from this result, we analyze problems with finitely many exercise rights and explain solution methods for some classes of problems with underlying Lévy and diffusion processes, where the optimal characteristics of the problems can be identified more explicitly. We illustrate the main results with explicit examples.
Authors:
 [1] ;  [2]
  1. Christian–Albrechts-University in Kiel, Mathematical Institute (Germany)
  2. Oslo and Akershus University College, School of business, Faculty of Social Sciences (Norway)
Publication Date:
OSTI Identifier:
22470061
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 71; Journal Issue: 1; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 97 MATHEMATICAL METHODS AND COMPUTING; CALCULATION METHODS; DIFFUSION; EXERCISE; MARKOV PROCESS; MATHEMATICAL OPERATORS; MATHEMATICAL SOLUTIONS; RANDOMNESS; REFRACTION