Stopping of functionals with discontinuity at the boundary of an open set (Q719380)

This article deals with the optimal stopping problem of Markov processes for functionals with discontinuity at the boundary of an open set. The authors, first introduce and generalize the penalty method for random stopping times and then propose a numerical algorithm to approximate the value function for general Feller-Markov processes. After exploring their main assumption concerning the mapping of the stopped semigroup, they obtain some results for a larger family of Markov processes (in particular, in dimensions higher than one) than the ones already known, and they enable numerical treatment for the value function. Furthermore, the optimal stopping problem for a fixed (infinite and finite) horizon is investigated by using this method. Finally, in an appendix, a list of important properties of Feller processes is presented.