Author:
Pontier Monique,Szpirglas Jacques
Abstract
Given two optional positive bounded processesYandY′, defined on a probability space, and a non-negative reala,the problem is to maximize the average rewardE(YT) among all the stopping timesTverifying 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
Cited by
4 articles.
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