14 citations · 31 across the 5 of their papers we have counts for
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math.PR2008
A class of optimal stopping problems for Markov processes
Diana Dorobantu
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary fun…
math.PR2008★ 1 cited
Optimal stopping for Lévy processes and affine functions
Diana Dorobantu
This paper studies an optimal stopping problem for Lévy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also jus…