Optimal Stopping in General Predictable Framework
| Autor: | Bouhadou, Siham, Ouknine, Youssef |
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| Rok vydání: | 2018 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(\phi(\tau ),\;\;\tau \in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means of Snell's envelope techniques. We prove some properties of the value function family associated to this setting. |
| Databáze: | arXiv |
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