Retour à la liste de tous les séminaires

Optimal stopping via expected suprema

Le : 15/12/2014 11h00
Par : Paavo Salminen, University of Turku, Finland
Lieu : I 103
Lien web :
Résumé : In this talk we consider optimal stopping problems (OSP) for general strong Markov processes. Since the value function of OSP is excessive it is natural to study different representations of excessive functions in the context of optimal stopping. In this talk we focus on the representation via expected suprema. The main body of the talk consists of a new verification theorem for the value function. The result generalizes recent findings for L\'evy processes obtained essentially viathe Wiener-Hopf factorization. Some examples are discussed. The talk is mainly based on: S\"oren Christensen, Paavo Salminen, Bao Ta: Optimal stopping of strong Markov processes. SPA 123: 1138-1159, 2013.