Abstract
The optimal stopping problem can be considered for nearly any stochastic process, and its formulation will be similar in each case. But its solution will be relatively simple only for a few processes. One class of such processes consists of discrete-time Markov chains.
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Gusak, D., Kukush, A., Kulik, A., Mishura, Y., Pilipenko, A. (2010). Optimal stopping of random sequences and processes. In: Theory of Stochastic Processes. Problem Books in Mathematics. Springer, New York, NY. https://doi.org/10.1007/978-0-387-87862-1_15
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DOI: https://doi.org/10.1007/978-0-387-87862-1_15
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Online ISBN: 978-0-387-87862-1
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