Transitivity in Problems of Optimal Stopping
Irle, Albrecht
Ann. Probab., Tome 9 (1981) no. 6, p. 642-647 / Harvested from Project Euclid
In a sequential decision problem it is usually assumed that the available information is represented by an increasing family $\mathscr{F}$ of $\sigma$-algebras. Often a reduction, e.g., according to principles of sufficiency or invariance, is performed which yields a smaller family $\mathscr{G}$. The consequences of such a reduction for problems of optimal stopping are treated in this paper. It is shown that $\mathscr{G}$ is transitive for $\mathscr{F}$ (in the Bahadur sense) if and only if for any stochastic process adapted to $\mathscr{G}$ the value (i.e., maximal reward by optimal stopping) under $\mathscr{G}$ and the value under $\mathscr{F}$ are equal.
Publié le : 1981-08-14
Classification:  Stopping times,  optimal stopping,  transitivity,  60G40
@article{1176994369,
     author = {Irle, Albrecht},
     title = {Transitivity in Problems of Optimal Stopping},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 642-647},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994369}
}
Irle, Albrecht. Transitivity in Problems of Optimal Stopping. Ann. Probab., Tome 9 (1981) no. 6, pp.  642-647. http://gdmltest.u-ga.fr/item/1176994369/