Random process optimal stopping in the problem with constraints

被引：0

作者：

Dokuchaev, NG ^{[1
]}

机构：

[1] St Petersburg State Univ, Fac Math & Mech, St Petersburg 198904, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 1997年 / 41卷 / 04期

关键词：

Markov process; optimal stopping; problems with constraints; duality;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The optimal stopping problem of the Markov process with a finite number of constraints on the distribution at the stopping time is considered. The duality is established (the coincidence of minimax and maximin of an appropriate Lagrangian) for the problem with the randomized initial value of the process, and also for the deterministic initial value.

引用

页码：761 / 768

页数：8

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