Optimal Stopping Problem with a Vector-Valued Reward Function |
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| Authors: | Cloud Makasu |
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| Institution: | 1. Department of Mathematics and Applied Mathematics , University of Western Cape , Bellville , South Africa cmakasu@uwc.ac.za |
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| Abstract: | In this note, using the well-known method of scalarization, we give an explicit characterization of the Pareto optimal stopping time for a vector-valued optimal stopping problem with only two reward functions. The present problem is a natural generalization of the classical McDonald-Siegel optimal stopping problem. |
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| Keywords: | Geometric Brownian motions Scalarization method Vector-valued optimal stopping problem |
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