Optimal stopping in predictable setting

作     者：Siham Bouhadou Astrid Hilbert Youssef Ouknine Siham Bouhadou;Astrid Hilbert;Youssef Ouknine

作者机构：Department of MathematicsFaculty of Sciences SemlaliaCadi Ayyad UniversityBd.Prince My AbdellahB.P.239040000 MarrakechMorocco Department of MathematicsLinnaeus UniversityB2051Hus BVäxjöSweden Mohammed VI Polytechnic UniversityHay Moulay Rachid Ben Guerir43150Morocco 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2023年第8卷第4期

页      面：485-498页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Optimal stopping Supermartingale Predictable stopping time Admissible family Reward 

摘      要：In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping *** aim to elucidate various properties of the value function family within this *** prove the existence of an optimal predictable stopping time,subject to specific assumptions regarding the reward functionϕ.