Optimal Stopping of Stochastic Transport Minimizing Submartingale Costs

Nassif Ghoussoub, Young-Heon Kim, Aaron Zeff Palmer

Given a stochastic state process $(X_t{)}_t$ and a real-valued submartingale cost process $(S_t{)}_t$, we characterize optimal stopping times $\tau$ that minimize the expectation of $S_{\tau }$…