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Arret optimal avec contrainte
Published online by Cambridge University Press: 01 July 2016
Abstract
Given two optional positive bounded processes Y and Y′, defined on a probability space , and a non-negative real a, the problem is to maximize the average reward E(YT) among all the stopping times T verifying the following constraint:
The problem is solved by Lagrangian saddlepoint techniques in the set of randomized stopping times including the set of stopping times.
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- Copyright © Applied Probability Trust 1983
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