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Arret optimal avec contrainte

Published online by Cambridge University Press:  01 July 2016

Monique Pontier  and
Jacques Szpirglas
Monique Pontier*
Affiliation:
Université d'Orléans
Jacques Szpirglas*
Affiliation:
Centre National d'Etudes des Télécommunications
*
∗Adresse postale: Départment de Mathématiques, Université d'Orléans, 45046 Orléans-Cedex, France.
∗∗ Adresse postale: CNET/PAA/TIM/MTI. 92131 Issy les Moulineaux, France.
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Abstract

Given two optional positive bounded processes Y and Y′, defined on a probability space , and a non-negative real a, the problem is to maximize the average reward E(YT) among all the stopping times T verifying the following constraint: The problem is solved by Lagrangian saddlepoint techniques in the set of randomized stopping times including the set of stopping times.

Keywords

OPTIMAL STOPPINGAVERAGE CONSTRAINTRANDOMIZED STOPPING TIMES
Type
Research Article
Information
Advances in Applied Probability , Volume 15 , Issue 4 , December 1983 , pp. 798 - 812
Copyright
Copyright © Applied Probability Trust 1983 

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References

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