Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes

DOI10.1155/2017/3596037zbMath1392.60036OpenAlexW2761095230MaRDI QIDQ1652942

Lu Ye

Publication date: 17 July 2018

Published in: Chinese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/3596037

zbMATH Keywords

optimal stopping problemLévy processes with jumps

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Optimal stopping time on discounted semi-Markov processes

Cites Work

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• Optimal time to invest when the price processes are geometric Brownian motions
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• First passage times of a jump diffusion process
• Solving non–linear optimal stopping problems by the method of time–change
• Credit risk modeling with affine processes
• The generalized perpetual American exchange-option problem
• Optimal Time to Exchange Two Baskets

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