The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems

Sören Christensen; Albrecht Irle

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arXiv · 1705.01763

The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems

Sören Christensen·Albrecht Irle

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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.

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BibTeX RIS

Sören Christensen, Albrecht Irle. 2017-05-04. The Monotone Case Approach for the Solution of Certain Multidimensional Optimal Stopping Problems. https://arxiv.org/abs/1705.01763

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