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Quantitative Finance · Glossary

What is Continuation region, stopping region?

Also known as: stopping region · continuation region

Definition 10.3 Quantitative Methods · Chapter 10 — Optimal Stopping and Impulse Control

For a Markov problem with Gn=g(n,Xn)G_n = g(n, X_n) and Un=u(n,Xn)U_n = u(n, X_n), the stopping region is {(n,x):u=g}\{(n, x) : u = g\} and the continuation region its complement, where waiting is strictly better.

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