Optimal stopping in a general framework

Abstract : We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative random variables} indexed by stopping times. We solve the problem under weak assumptions in terms of integrability and regularity of the reward family. More precisely, we only suppose $v(0) < + \infty$ and $(\phi(\theta),\theta\in \mathcal{T}_0)$ upper semicontinuous along stopping times in expectation. We show the existence of an optimal stopping time and obtain a characterization of the minimal and the maximal optimal stopping times. We also provide some local properties of the value function family. All the results are written in terms of families of random variables and are proven by only using classical results of the Probability Theory.
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Type de document :
Article dans une revue
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (72), pp.1-28. <10.1214>
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https://hal.archives-ouvertes.fr/hal-00519457
Contributeur : Magdalena Kobylanski <>
Soumis le : mercredi 27 février 2013 - 22:16:31
Dernière modification le : jeudi 27 avril 2017 - 09:46:36
Document(s) archivé(s) le : dimanche 2 avril 2017 - 06:34:17

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Magdalena Kobylanski, Marie-Claire Quenez. Optimal stopping in a general framework. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2012, 17 (72), pp.1-28. <10.1214>. <hal-00519457v3>

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