Representation results for jump processes with application to optimal stopping
作者:
Michael Kohlmannt,
Armand Makowski,
Raymond Rishel,
期刊:
Stochastics
(Taylor Available online 1980)
卷期:
Volume 4,
issue 2
页码: 143-165
ISSN:0090-9491
年代: 1980
DOI:10.1080/17442508008833159
出版商: Gordon and Breach Science Publishers Inc
数据来源: Taylor
摘要:
It is shown that functions, measurable on the past of a jump process up to a stopping time, can be expressed as functions of the jump times and jump locations up to the stopping time. These results lead to formulas for conditional expectations with respect to the past of the process up to the stopping time. The use of these results is illustrated in giving a sufficient condition for optimality for optimal stopping of a partially observed jump Markov process.
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