Abstract
In this paper we demonstrate that {the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems. After a short general discussion of the Riesz representation we concretize to geometric Brownian motions. After this, a classical investment problem, also known as exchange-of-baskets-problem, is studied. It is seen that the boundary of the stopping region in this problem can be characterized as a unique solution of an integral equation arising immediately from the Riesz representation of the value function. The two-dimensional case is studied in more detail and a numerical algorithm is presented.
| Original language | Undefined/Unknown |
|---|---|
| Pages (from-to) | 75–95 |
| Journal | Mathematics and Financial Economics |
| Volume | 12 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2018 |
| MoE publication type | A1 Journal article-refereed |