Stopping of functionals with discontinuity at the boundary of an open set - Palczewski, Jan; Stettner, Łukasz (Stochastic processes and their applications, 2011)
Keywords: Discontinuous functional; Exact sciences and technology; Feller–Markov process; Markov processes; Mathematics; Optimal stopping; Optimal stopping Feller-Markov process Discontinuous functional Penalty method; Penalty method; Probability and statistics; Probability theory and stochastic processes; Sciences and techniques of general use; Sequential methods; Statistics; Stochastic analysis; Stochastic processes; Optimal stopping; Discontinuous functional; Feller–Markov process; Penalty method; Markov process; Discontinuity; Stopping time; Feller-Markov process; Continuous function; Numerical method; Discontinuous functional: Penalty method; Stochastic process; Algorithm; Numerical approximation; Functional; Value function; Payoff function