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

Optimal Stopping Problems under General Restriction

  • 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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