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On general optimal stopping problems using penalty method

Stettner Ł.

Demonstratio Mathematica

2012

Vol. 45, nr 2

309-323

In the paper we use penalty method to approximate a number of general stopping problems over finite horizon. We consider optimal stopping of discrete time or right continuous stochastic processes, and show that suitable version of Snell's envelope can by approximated by solutions to penalty equations. Then we study optimal stopping problem for Markov processes on a general Polish space, and again show that the optimal stopping value function can be approximated by a solution to a Markov version of the penalty equation.