AN OPTIMAL STOPPING PROBLEM IN THE PRESENCE OF COSTS OF OBSERVATIONS
Yūji Yoshida · Bulletin of informatics and cybernetics · 1989
The present paper deals with an optimal stopping problem which permits the cost of obserbation in the case of continuous time Markov processes. Under certain conditions of the terminal functions and the running cost functions, we show the existence of a finite optimal stopping time. Moreover we also discuss a free boundary problem concerning the optimal stopping problem.