Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes
Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes
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有限阶段多参数随机过程的停止值和上限值的加法比较
DOI：
10.1016/j.jmaa.2011.02.019
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发表时间：
2011
影响因子：
1.3
通讯作者：
Teruo Tanaka
中科院分区：
文献类型：
--
作者：
Teruo Tanaka
研究了指标集为Nd的离散时间多参数随机过程的最优停止问题。在经典的最优停止问题中，许多作者研究了完全预见的局中人的期望报酬与使用非预见停止规则的局中人的期望报酬之间的比较，即预言不等式。Krengel和Sucheston（1981）[9]和Tanaka（2007，2006）[14]，[15]研究了多参数最优停止问题中这些值之间的比率比较。本文给出了有限阶段多参数最优停止问题的一个加法比较。
This paper concerns the optimal stopping problem for discrete time multiparameter stochastic processes with the index set N d. In the classical optimal stopping problems, the comparisons between the expected reward of a player with complete foresight and the expected reward of a player using nonanticipating stop rules, known as prophet inequalities, have been studied by many authors. Ratio comparisons between these values in the case of multiparameter optimal stopping problems are studied by Krengel and Sucheston (1981)[9] and Tanaka (2007, 2006)[14],[15]. In this paper an additive comparison in the case of finite stage multiparameter optimal stopping problems is given.