Optimal Stopping Variables for Stochastic Process with Independent Increments
Walker, LeRoy H.
Ann. Probab., Tome 2 (1974) no. 6, p. 309-316 / Harvested from Project Euclid
Let $\{W(t): t$ a nonnegative real number$\}$ denote a stochastic process with right-continuous sample paths with probability one, independent increments which are statistically homogeneous, $E\{W(t)\} = 0$, and $E\{(W(t) - W(s))^2\} = \sigma|t - s|$ for some constant $\sigma$; let $T$ denote the set of stopping variables with respect to $W$; and let $c$ denote a non-increasing, right-continuous, square-integrable function on the nonnegative real line. Then $E\{\sup_{t\geqq 0} c(t)|W(t)|\}$ is shown to be finite which insures that $\sup_{\tau\in T} E\{c(\tau)W(\tau)\}$ is finite. Also, $\varepsilon$-optimal stopping variables are shown to exist with stopping points occurring only in discrete subsets of the nonnegative real line. These optimal stopping variables require observation of the process $W$ only at the possible stopping points.
Publié le : 1974-04-14
Classification:  Optimal stopping variables (rules),  stochastic processes with independent,  statistically homogeneous,  zero mean,  bounded variance increments,  right-continuous paths,  65L15,  60G40,  60J30
@article{1176996710,
     author = {Walker, LeRoy H.},
     title = {Optimal Stopping Variables for Stochastic Process with Independent Increments},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 309-316},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996710}
}
Walker, LeRoy H. Optimal Stopping Variables for Stochastic Process with Independent Increments. Ann. Probab., Tome 2 (1974) no. 6, pp.  309-316. http://gdmltest.u-ga.fr/item/1176996710/