Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 2, pp. 336-344
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A. G. Fakeev. On optimal stopping rules for stochastic processes with continuous parameter. Teoriâ veroâtnostej i ee primeneniâ, Tome 15 (1970) no. 2, pp. 336-344. http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a14/
@article{TVP_1970_15_2_a14,
author = {A. G. Fakeev},
title = {On optimal stopping rules for stochastic processes with continuous parameter},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {336--344},
year = {1970},
volume = {15},
number = {2},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a14/}
}
TY - JOUR
AU - A. G. Fakeev
TI - On optimal stopping rules for stochastic processes with continuous parameter
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1970
SP - 336
EP - 344
VL - 15
IS - 2
UR - http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a14/
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ID - TVP_1970_15_2_a14
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%T On optimal stopping rules for stochastic processes with continuous parameter
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1970
%P 336-344
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%U http://geodesic.mathdoc.fr/item/TVP_1970_15_2_a14/
%G ru
%F TVP_1970_15_2_a14
The main result of this note is the proof of the existence of optimal (may be, unbounded) stopping times for a process with continuous parameter. The optimal stopping rules and the corresponding maximal rewards are described in terms of some majorizing process (minimal right-continuous supermartingale).
