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A new approach to optimal stopping for Hunt processes

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 2019Embargo end date: 01 Jan 2019Publisher:arXiv

Authors: Bachouch, Achref; Draouil, Olfa; Øksendal, Bernt;

doi: 10.48550/arxiv.1909.00163

arXiv: http://arxiv.org/abs/1909.00163

A new approach to optimal stopping for Hunt processes

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Abstract

In this paper we present a new verification theorem for optimal stopping problems for Hunt processes. The approach is based on the Fukushima-Dynkin formula, and its advantage is that it allows us to verify that a given function is the value function without using the viscosity solution argument. Our verification theorem works in any dimension. We illustrate our results with some examples of optimal stopping of reflected diffusions and absorbed diffusions.

Related Organizations

University of Oslo
Norway

Keywords

Optimization and Control (math.OC), FOS: Mathematics, Mathematics - Optimization and Control, 60G40, 60GXX, 60HXX

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