Temps D'Arret Optimal, Quasi-Temps D'Arret et Retournement du Temps
Bismut, Jean-Michel
Ann. Probab., Tome 7 (1979) no. 6, p. 933-964 / Harvested from Project Euclid
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A generalized problem of optimal stopping is defined, which has a solution in the class of quasi-stopping times, which generalize the classical stopping times. The optimal quasi-stopping times are fully characterized. By time reversal, on a Markov process, various results of Meyer, Mokobodzki and Rost are interpreted as results of existence of optimal quasi-stopping times for the reversed process. Finally, a game on quasi-stopping times is solved.
Publié le : 1979-12-14
Classification:  Stopping times,  Markov processes,  probabilistic potential theory,  stochastic games,  60G40,  60J25,  60J45,  93E05 
@article{1176994889,
     author = {Bismut, Jean-Michel},
     title = {Temps D'Arret Optimal, Quasi-Temps D'Arret et Retournement du Temps},
     journal = {Ann. Probab.},
     volume = {7},
     number = {6},
     year = {1979},
     pages = { 933-964},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/1176994889}
}

Bismut, Jean-Michel. Temps D'Arret Optimal, Quasi-Temps D'Arret et Retournement du Temps. Ann. Probab., Tome 7 (1979) no. 6, pp.  933-964. http://gdmltest.u-ga.fr/item/1176994889/