Value Function and Optimal Rule on the Optimal Stopping Problem for Continuous-Time Markov Processes

Abstract

This paper considers the optimal stopping problem for continuous-time Markov processes. We describe the methodology and solve the optimal stopping problem for a broad class of reward functions. Moreover, we illustrate the outcomes by some typical Markov processes including diffusion and Lévy processes with jumps. For each of the processes, the explicit formula for value function and optimal stopping time is derived. Furthermore, we relate the derived optimal rules to some other optimal problems.