Palczewski, J and Stettner, L (2011) Stopping of functionals with discontinuity at the boundary of an open set. Stochastic Processes and their Applications, 121 (10). 2361 - 2392. ISSN 0304-4149
Abstract
We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set O. The stopping horizon is either random, equal to the first exit from the set O, or fixed: finite or infinite. The payo function is continuous with a possible jump at the boundary of O. Using a generalization of the penalty method we derive a numerical algorithm for approximation of the value function for general Feller-Markov processes and show existence of optimal or "-optimal stopping times.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2011, Elsevier. This is an author produced version of a paper published in Stochastic Processes and their Applications. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Optimal stopping; Feller-Markov process; discontinuous functional; penalty method; time |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Applied Mathematics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 10 Jun 2014 08:37 |
Last Modified: | 29 Jan 2018 11:40 |
Published Version: | http://dx.doi.org/10.1016/j.spa.2011.05.013 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.spa.2011.05.013 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:79161 |