A Finite Time Horizon Optimal Stopping Problem with Regime Switching

DOI10.1137/080739550zbMath1210.60042OpenAlexW1971416245MaRDI QIDQ3083261

Huiling Le, Chun Wang

Publication date: 21 March 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080739550

zbMATH Keywords

optimal stoppingregime switchingsupermartingale

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

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