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W.~Haggstrom} [Ann. Math. Stat. 38, 1618--1626 (1967; Zbl 0189.18301)] for the classical formulation of the problem for the double indexed discrete time processes and \\textit{R.~Ehjdukyavichyus} [Litov. Mat. Sb. 22, No. 3, 209--215 (1982; Zbl 0515.60045)] for continuous time Markov processes).  Let \\((\\Omega,{\\mathcal F},({\\mathcal F}_t)_{0\\leq t\\leq T}\\) be the probability space with filtration. Assuming that for every stopping times \\(\\tau\\), \\(\\sigma\\) with respect to the filtration given the double stopping process \\(\\psi(\\tau,\\sigma)\\) is the \\({\\mathcal F}_{\\tau\\vee \\sigma}\\) measurable, positive, random variable [see \\textit{N.~El Karoui}, Les aspects probabilistes du contr\u00f4le stochastique. Ecole d'ete de probabilites de Saint-Flour IX-1979, Lect. Notes Math. 876, 74--238 (1981; Zbl 0472.60002)]. The aim is to determine \\(v(S) = \\text{ess\\; sup}_{\\tau _1 ,\\tau _2 \\geq S}E [\\psi (\\tau _1 ,\\tau _2)|\\mathcal F_s]\\) for each stopping time \\(S\\). Following the optimal one stopping time problem it is proved that the optimal stopping times exist and a method is given how to compute them. The key point is the construction of a new reward \\(\\phi\\) such that \\(v(s) = \\text{ess sup}\\{E[\\phi (\\tau )|\\mathcal F_s],\\tau \\geq 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