The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems
Probability
2019-06-04 v2
Abstract
This paper studies explicitly solvable multidimensional optimal stopping problems of sum- and product-type in discrete and continuous time using the monotone case approach. It gives a review on monotone case stopping using the Doob decomposition, resp. Doob-Meyer decomposition in continuous time, also in its multiplicative versions. The approach via these decompositions leads to explicit solutions for a variety of examples, including multidimensional versions of the house-selling and burglar's problem, the Poisson disorder problem, and an optimal investment problem.
Cite
@article{arxiv.1705.01763,
title = {The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems},
author = {Sören Christensen and Albrecht Irle},
journal= {arXiv preprint arXiv:1705.01763},
year = {2019}
}