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arXiv · 0809.4990

A class of optimal stopping problems for Markov processes

Diana Dorobantu
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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.

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Diana Dorobantu. 2008-09-29. A class of optimal stopping problems for Markov processes. https://arxiv.org/abs/0809.4990

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