Optimal Stopping Problems under General Restriction
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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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