一类最优停止问题的解
SOLUTIONS OF A CLASS OF OPTIMAL STOPPING PROBLEMS
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Abstract: Let {Zi} be i.i.d.,and {εi} be i.i.d.,Bernoulli variables independent of {Zi}.Set To ≡z and Tn=εn(Tn-1-Zn)for n≥1.Using Wiener-Hopf type equations,we give a new approch to find optimal stopping rules for stopping Tn-nC,Where C＞0.Special cases are nsidered in detail,some of them are difficult to treat by Ferguson’s method.
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