Existence and explicit determination of optimal stopping times

A. G. Mucci

Stochastic Processes and their Applications, 1978, vol. 8, issue 1, 33-58

Abstract: We consider large classes of continuous time optimal stopping problems for which we establish the existence and form of the optimal stopping times. These optimal times are then used to find approximate optimal solutions for a class of discrete time problems.

Keywords: Weak; convergence; optimal; stopping (search for similar items in EconPapers)
Date: 1978
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