In this paper we study the well-know optimal stopping problem applied to a general family of continuous-time Markov process. The approach to follow is merely analytic and it is based on the characterization of stopping problems through the study of a certain variational inequality; namely one solution of this inequality will coincide with the optimal value of the stopping problem. In addition, by means of this characterization, it is possible to find the so-named continuation region, and as a byproduct obtaining the optimal stopping time. The most of the material is based on the semigroup theory, infinitesimal generators and resolvents. The chapter is a complete version of the former presentation without detailed proofs in .
Control Theory | Numerical Analysis and Computation
Jasso-Fuentes, Héctor; Menaldi, Jose-Luis; and Vásquez-Rojas, Fidel, "Optimal Stopping Problems for a Family of Continuous-Time Markov Processes" (2021). Mathematics Faculty Research Publications. 70.
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