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THE OPTIMAL STOPPING PROBLEM OF A CONTINUOUS PARAMETER PROCESS

         

摘要

<正> Suppose X = (Xr, Fr, t ∈ R+) be an optional reward process with ( Fr) satisfying usual conditions. In this paper, we correct the proof of existence about Snell envelope in [4] and the proof of an important lemma (Lemma 4. 6) in [5], and give a proof of existence about Snell envelope under certain conditions, i. e. EZx- < ∞ and Z is upper-semi-continuous on the right (USCR) or there is a stopping rule (SR)τ ≤σ such that EZx-∞ for any stopping rule σ . At the same time, we prove a four-repeated limit theorem when Z is continuous on the right. The character and the uniqueness of the optimal stopping time (OST) or optimal stopping rule (OSR) are discussed.

著录项

  • 来源
    《高校应用数学学报A辑》 |1992年第1期|19-31|共13页
  • 作者

    金治明;

  • 作者单位

    Department of System Engineering and Mathematics;

    Xational University of Defense Technology;

    Changsha 410073;

  • 原文格式 PDF
  • 正文语种 chi
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