Optimal stopping problem

This is an excerpt from the main article on the optimal stopping problem.

Given a Levy process $X_t$ we consider the following problem. We want to find the optimal stopping time $\tau$ to maximize the expected value of $\varphi(X_{\tau})$ for some given (payoff) function $\varphi$.

In this setting, the value of $\varphi(X_{\tau})$ depends on the initial point $x$ where the Levy process starts. We can call $u(x) = \mathbb E[\varphi(X_{\tau}) | X_0 = x]$. Under this choice, the function $u$ satisfies the obstacle problem with $L$ being the generator of the Levy process $X_t$.