Solving non-linear optimal stopping problems by the method of time-change. Stochastic Anal

Some non-linear optimal stopping problems can be solved explicitly by using a common method which is based on time-change. We describe this method and illustrate its use by considering several examples dealing with Brownian motion. In each of these examples we derive explicit formulas for the value function and display the optimal stopping time. The main emphasis of the paper is on the method of proof and its unifying scope. 1