Optimal stopping in predictable setting  

作　　者：Siham Bouhadou Astrid Hilbert Youssef Ouknine 

机构地区：[1]Department of Mathematics,Faculty of Sciences Semlalia,Cadi Ayyad University,Bd.Prince My Abdellah,B.P.2390,40000 Marrakech,Morocco [2]Department of Mathematics,Linnaeus University,B2051,Hus B,Växjö,Sweden [3]Mohammed VI Polytechnic University,Hay Moulay Rachid Ben Guerir,43150,Morocco

出　　处：《Probability, Uncertainty and Quantitative Risk》2023年第4期485-498,共14页概率、不确定性与定量风险（英文）

摘　　要：In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping times.We aim to elucidate various properties of the value function family within this context.We prove the existence of an optimal predictable stopping time,subject to specific assumptions regarding the reward functionϕ.

关 键 词：Optimal stopping SUPERMARTINGALE Predictable stopping time Admissible family REWARD 

分 类 号：O17[理学—数学]