A class of optimal stopping problems for Markov processes

Details A class of optimal stopping problems for Markov processes A class of optimal stopping problems for Markov processes

2008-09-29

arxiv.org/abs/0809.4990v1

Mathematics

Probability

Scientific paper

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.

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