Optimal stopping for Markov processes and decreasing affine functions

MaRDI QIDQ3145202zbMATH OpenFDO

Authors Diana Dorobantu

Publication date 19 December 2012

zbMATH Keywords

optimal stoppingpassage timeSnell envelopestrong Markov process

Mathematics Subject Classification ID

Dynamic programming (90C39) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

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(4)

• An optimal stopping problem for spectrally negative Markov additive processes
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• The optimal value of markov stopping problems with one-step look ahead policy
• Optimal stopping of strong Markov processes

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