A class of optimal stopping problems for Markov processes
Probability
2013-07-22 v1
Abstract
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the first time when the Markov process passes over the boundary depending on time. Moreover, we propose a method to find the optimal boundary function.
Cite
@article{arxiv.0809.4990,
title = {A class of optimal stopping problems for Markov processes},
author = {Diana Dorobantu},
journal= {arXiv preprint arXiv:0809.4990},
year = {2013}
}