Representation results for jump processes with application to optimal stopping

DOI10.1080/17442508008833159zbMath0442.60041OpenAlexW2009219785MaRDI QIDQ3884896

Michael Kohlmann, Armand M. Makowski, Raymond W. Rishel

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833159

zbMATH Keywords

variational inequalitiesoptimal stoppingpartial observationDynkin formularepresentation for random variables on jump processes

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)

Related Items

Local optimality conditions for optimal stopping ⋮ A representation theory for the impulse control of jump processes

Cites Work

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• State estimation for partially observed jump processes
• State estimation for partially observed Markov chains
• Martingales on Jump Processes. I: Representation Results
• The Free Boundary for Variational Inequalities with Nonlocal Operators