连续参数过程的最优停止

THE OPTIMAL STOPPING PROBLEM OF A CONTINUOUS PARAMETER PROCESS

Suppose X = (Xr, Fr, t ∈ R+) be an optional reward process with ( Fr) satisfying usual conditions. In this paper, we correct the proof of existence about Snell envelope in [4] and the proof of an important lemma (Lemma 4. 6) in [5], and give a proof of existence about Snell envelope under certain conditions, i. e. EZx- 【 ∞ and Z is upper-semi-continuous on the right (USCR) or there is a stopping rule (SR)τ ≤σ such that EZx-∞ for any stopping rule σ . At the same time, we prove a four-repeated limit theorem when Z is continuous on the right. The character and the uniqueness of the optimal stopping time (OST) or optimal stopping rule (OSR) are discussed.

Suppose X = (Xr, Fr, t ∈ R+) be an optional reward process with ( Fr) satisfying usual conditions. In this paper, we correct the proof of existence about Snell envelope in [4] and the proof of an important lemma (Lemma 4. 6) in [5], and give a proof of existence about Snell envelope under certain conditions, i. e. EZx- < ∞ and Z is upper-semi-continuous on the right (USCR) or there is a stopping rule (SR)τ ≤σ such that EZx-∞ for any stopping rule σ . At the same time, we prove a four-repeated limit theorem when Z is continuous on the right. The character and the uniqueness of the optimal stopping time (OST) or optimal stopping rule (OSR) are discussed.