Arrêt optimal pour les processus de Markov forts et les fonctions affinesReport as inadecuate




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1 LSProba - Laboratoire de Statistiques et Probabilités

Abstract : 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.

Mots-clés : arrêt optimal processus de Markov enveloppe de Snell





Author: Diana Dorobantu -

Source: https://hal.archives-ouvertes.fr/



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