A class of optimal stopping problems for Markov processes

Diana Dorobantu (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Mots clés: boundary function; strong Markov process; optimal stopping; Snell envelope; boundary function.

Domaines: Probabilités [math.PR]

Diana Dorobantu. A class of optimal stopping problems for Markov processes. Revue roumaine de mathématiques pures et appliquées, 2011, 4 (56), pp.283-294. ⟨hal-00325406⟩