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Optimal stopping in predictable setting
Cadi Ayyad University, Morocco.
Linnaeus University, Faculty of Technology, Department of Mathematics.ORCID iD: 0000-0002-5362-6475
Mohammed VI Polytech Univ, Morocco.
2023 (English)In: Probability, Uncertainty and Quantitative Risk (PUQR), ISSN 2095-9672, Vol. 8, no 4, p. 485-498Article in journal (Refereed) Published
Abstract [en]

In this study, we delve into the optimal stopping problem by examining the case in which the reward is given by a family (phi(T), T E T0p) of nonnegative random variables indexed by predictable stopping times. We aim to elucidate various properties of the value function family within this context. We prove the existence of an optimal predictable stopping time, subject to specific assumptions regarding the reward function phi .

Place, publisher, year, edition, pages
American Institute of Mathematical Sciences (AIMS) Press , 2023. Vol. 8, no 4, p. 485-498
Keywords [en]
Optimal stopping, Supermartingale, Predictable stopping time, Admissible family, reward
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-127570DOI: 10.3934/puqr.2023022ISI: 001131922300001Scopus ID: 2-s2.0-85185333083OAI: oai:DiVA.org:lnu-127570DiVA, id: diva2:1835457
Available from: 2024-02-06 Created: 2024-02-06 Last updated: 2024-02-28Bibliographically approved

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Hilbert, Astrid

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