Author:
Pontier Monique,Szpirglas Jacques
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.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability