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A class of optimal stopping problems for Markov processes

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 نشر من قبل Diana Dorobantu
 تاريخ النشر 2008
  مجال البحث
والبحث باللغة English
 تأليف Diana Dorobantu




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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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