Finite Horizon Optimal Stopping Research Articles

A bandit process with delayed responses

Structural properties on the boundary and monotonicity of optimal strategies in a two-armed bandit process with delayed responses are explored. Moreover, a finite horizon optimal stopping solution is derived which complements a known result in the infinite horizon case.

Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region

We consider the application of probabilistic techniques to an optimal stopping problem, which we write as an obstacle problem. An application of Ito's formula to the optimal payoff function yields a partial uniqueness result for the obstacle problem and for an integral equation satisfied by the continuation region of the stopping problem. We also given sufficient conditions for the continuation region to be of a simple shape