A class of optimal stopping problems for Markov processesReport as inadecuate




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1 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Keywords : boundary function strong Markov process optimal stopping Snell envelope boundary function.





Author: Diana Dorobantu -

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



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