包文清. 限制停时类上最优停时问题[J]. 应用概率统计, 2017, 33(6): 567-583. DOI: 10.3969/j.issn.1001-4268.2017.06.002
引用本文: 包文清. 限制停时类上最优停时问题[J]. 应用概率统计, 2017, 33(6): 567-583. DOI: 10.3969/j.issn.1001-4268.2017.06.002
BAO WenQing. {Optimal Stopping Problems under General Restriction[J]. Chinese Journal of Applied Probability and Statistics, 2017, 33(6): 567-583. DOI: 10.3969/j.issn.1001-4268.2017.06.002
Citation: BAO WenQing. {Optimal Stopping Problems under General Restriction[J]. Chinese Journal of Applied Probability and Statistics, 2017, 33(6): 567-583. DOI: 10.3969/j.issn.1001-4268.2017.06.002

限制停时类上最优停时问题

Optimal Stopping Problems under General Restriction

  • 摘要: 基于文献18的框架,讨论以某种特征的限制停时类为指标集的随机变量族的最优停时问题.运用经典的概率理论, 本文证明了最优停时的存在性,刻画了最小、最大停时的特征, 给出了相应值函数族的局部性质. 当然,上述结论与以往在特殊情况下得出的相一致.

     

    Abstract: We generalize the framework of 18 for optimal stopping time problem to allow a certain restricted class of stopping times. By using classical results in probability theory on families of random variables indexed by a restricted family of stopping times, we prove the existence of an optimal time, give characterizations of the minimal and maximal optimal stopping times, and provide some local properties of the value function family, in concert with all special cases studied previously.

     

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