Optimal Stopping in General Predictable Framework
Abstract
In this paper, we study the optimal stopping problem in the case where the reward is given by a family (φ(τ ),\;\;τ ∈ ) of non negative random variables indexed by predictable stopping times. We treat the problem by means of Snell's envelope techniques. We prove some properties of the value function family associated to this setting.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.