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Theory of Stochastic Processes, 2009, Volume 15(31), Issue 2, Pages 54–61 (Mi thsp85)  

On optimal stopping for time-dependent gain function

P. Babilua, B. Dochviri, B. Meladze

Faculty of Exact and Natural Sciences Iv. Javakhishvili Tbilisi State University 2, University St., Tbilisi 0143 Georgia
References:
Abstract: General questions of optimal stopping for an inhomogeneous Markov process for a time-dependent gain function are investigated. The connection between the optimal stopping problems for an inhomogeneous standard Markov process and the corresponding homogeneous Markov process constructed in the extended state space is established. A detailed characterization of a value-function and the limit procedure for its construction in the problem of optimal stopping of an inhomogeneous Markov process is given. The form of $\varepsilon$-optimal (optimal) stopping times is also found.
Keywords: Inhomogeneous Markov process, stopping time, payoff, excessive function, extension of state space, universal completion.
Bibliographic databases:
Document Type: Article
MSC: 60J05, 91B28, 91B70
Language: English
Citation: P. Babilua, B. Dochviri, B. Meladze, “On optimal stopping for time-dependent gain function”, Theory Stoch. Process., 15(31):2 (2009), 54–61
Citation in format AMSBIB
\Bibitem{BabDocMel09}
\by P. Babilua, B.~Dochviri, B.~Meladze
\paper On optimal stopping for time-dependent gain function
\jour Theory Stoch. Process.
\yr 2009
\vol 15(31)
\issue 2
\pages 54--61
\mathnet{http://mi.mathnet.ru/thsp85}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2598527}
\zmath{https://zbmath.org/?q=an:1224.60182}
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