Value Function and Optimal Rule on the Optimal Stopping Problem for Continuous-Time Markov Processes | Zendy

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Value Function and Optimal Rule on the Optimal Stopping Problem for Continuous-Time Markov Processes

Author(s) -

Lu Ye

Publication year - 2017

Publication title -

chinese journal of mathematics

Language(s) - English

Resource type - Journals

ISSN - 2314-8071

DOI - 10.1155/2017/3596037

Subject(s) - optimal stopping , markov process , bellman equation , mathematical optimization , markov decision process , markov chain , stopping time , value (mathematics) , function (biology) , optional stopping theorem , mathematics , class (philosophy) , computer science , markov renewal process , markov model , markov property , statistics , artificial intelligence , evolutionary biology , biology

This paper considers the optimal stopping problem for continuous-time Markov processes. We describe the methodology and solve the optimal stopping problem for a broad class of reward functions. Moreover, we illustrate the outcomes by some typical Markov processes including diffusion and Lévy processes with jumps. For each of the processes, the explicit formula for value function and optimal stopping time is derived. Furthermore, we relate the derived optimal rules to some other optimal problems

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