(2.3) for the process S = (St)t‚0 deflned in (2.1)-(2.2). This problem is related to the option pricing theory in … results of general theory of optimal stopping problems for continuous time Markov processes (see, e.g., [9], [24, Chapter III …. and Shiryaev, A. N. (1966). On Stefan’s problem and optimal stopping rules for Markov processes. Theory Probab. Appl. 11 …

of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical … and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio …