An asymptotic expansion for the optimal stopping boundary in problems with nonlinear costs of observation (Q2731152)

The authors consider the optimal stopping problem for \((W_t+ x)^+- c(s+ t)\), \(t\in [0,\infty)\), where \((W_t)_{t\geq 0}\) is a standard Wiener process and \(c(\cdot)\) belongs to certain classes of convex or concave functions. The continuation region is then bounded by \(\pm h(t)\). It is shown that \(h(t)= (4c'(t))^{-1}(1+ o(1))\), as \(t\to\infty\). Numerical results describe the accuracy of the asymptotic boundary \((4c'(t))^{-1}\).