Resolvent-techniques for multiple exercise problems
Journal article, Peer reviewed
This is a postprint version of a published article. the original publication is available at www.springerlink.com
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Date
2014-05-21Metadata
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Original version
Christensen, S., & Lempa, J. (2013). Resolvent-techniques for multiple exercise problems. Applied Mathematics & Optimization, 71(1), 1-29. http://dx.doi.org/10.1007/s00245-014-9254-4Abstract
Abstract. 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 rst part, we reduce in nite 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 nitely many exercise rights and explain solution
methods for some classes of problems with underlying L evy and di usion processes, where the
optimal characteristics of the problems can be identified more explicitly. We illustrate the main
results with explicit examples.