Arrêt optimal pour les processus de Markov forts et les fonctions affines

Details Arrêt optimal pour les processus de Markov forts et les fonctions affines Arrêt optimal pour les processus de Markov forts et les fonctions affines

2008-04-22

arxiv.org/abs/0804.3496v1

Mathematics

Probability

Scientific paper

In this Note we study optimal stopping problems for strong Markov processes and affine functions. We give a justification of the Snell envelope form using standard results of optimal stopping. We also justify the convexity of the value function, and without a priori restriction to a particular class of stopping times, we deduce that the smallest optimal stopping time is necessarily a hitting time.

Affiliated with

Also associated with

No associations

Rating

Arrêt optimal pour les processus de Markov forts et les fonctions affines does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Arrêt optimal pour les processus de Markov forts et les fonctions affines, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Arrêt optimal pour les processus de Markov forts et les fonctions affines will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-675187