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Resolvent-techniques for multiple exercise problems. (English) Zbl 1356.60066
The main contribution of the paper is to reduce infinite stopping problems to ordinary ones by using resolvent operators in a general strong Markov setting. Based on this result, the authors can get explicit solutions of optimal multiple stopping problems for strong Markov processes with exponentially distributed random refraction periods. Detailed case studies with underlying Lévy and diffusion processes are also conducted.

MSC:
60G40 Stopping times; optimal stopping problems; gambling theory
60J60 Diffusion processes
60G51 Processes with independent increments; Lévy processes
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