Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:359

Article

Tanaka, Teruo

关键词: Stopping point;    Multiparameter stochastic process;    Convergence in distribution;    Lower semicontinuity;    Prophet inequality;   

DOI  :  10.1016/j.jmaa.2009.03.035

来源: Elsevier

【 摘 要 】

This paper is concerned with the optimal stopping problem for discrete time multiparameter stochastic processes with the index set N-d. The optimal stopping value of a discrete time multiparameter integrable stochastic process whose negative part is uniformly integrable, is lower semicontinuous for the topology of convergence in distribution. The multiparameter version of prophet inequality for the one-parameter optimal stopping problem is formulated and the lower semicontinuity property of the optimal stopping value is applied to the multiparameter prophet inequality. (C) 2009 Published by Elsevier Inc.

【 授权许可】

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