Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:382

Article

Tanaka, Teruo

关键词: Optimal stopping;    Multiparameter stochastic process;    Prophet inequality;    Additive comparison;   

DOI  :  10.1016/j.jmaa.2011.02.019

来源: Elsevier

【 摘 要 】

This paper concerns the optimal stopping problem for discrete time multiparameter stochastic processes with the index set N-d. In the classical optimal stopping problems, the comparisons between the expected reward of a player with complete foresight and the expected reward of a player using nonanticipating stop rules, known as prophet inequalities, have been studied by many authors. Ratio comparisons between these values in the case of multiparameter optimal stopping problems are studied by Krengel and Sucheston (1981) 191 and Tanaka (2007, 2006) 114,15]. In this paper an additive comparison in the case of finite stage multiparameter optimal stopping problems is given. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

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