RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1971 Volume 16, Issue 4, Pages 708–710 (Mi tvp2330)

This article is cited in 33 papers

Short Communications

On optimal stopping in a Markov process

A. G. Fakeev

Gorky

Abstract: It was shown in [1] that the maxinramfreward and optimal policy in an optimal stopping problem for a stochastic process may be described in terms of some majorizing process (minimal right-continuous supermartingale).
In this note, we give an excessive characterization of this majorant in the Markov ease.

Received: 09.07.1970


 English version:
Theory of Probability and its Applications, 1971, 16:4, 694–696

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024