Arrêt optimal pour les processus de Markov forts et les fonctions affines

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dc.creatorDorobantu, Diana
dc.date2008-04-22
dc.date.accessioned2026-07-07T12:18:26Z
dc.date.available2026-07-07T12:18:26Z
dc.descriptionIn this Note we study optimal stopping problems for strong Markov processes and affine functions. We give a justification of the Snell envelope form using standard results of optimal stopping. We also justify the convexity of the value function, and without a priori restriction to a particular class of stopping times, we deduce that the smallest optimal stopping time is necessarily a hitting time.
dc.identifierhttps://arxiv.org/abs/0804.3496
dc.identifierhttp://arxiv.org/abs/0804.3496
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/212412
dc.subjectProbability
dc.titleArrêt optimal pour les processus de Markov forts et les fonctions affines
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