一类最优停止问题的解 |
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引用本文: | 陈家鼎,李向科.一类最优停止问题的解[J].应用概率统计,1986(1). |
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作者姓名: | 陈家鼎 李向科 |
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作者单位: | 北京大学,北京大学 |
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摘 要: | Let {Z_i} be i.i.d.,and {ε_i} be i.i.d.,Bernoulli variables independent of {Z_i}.Set To≡z and T_n=ε_n(T_(n-1)-Z_n)for n≥1.Using Wiener-Hopf type equations,we give a newapproch to find optimal stopping rules for stopping T_n-nC,Where C>O.Special casesare nsidered in detail,some of them are difficult to treat by Ferguson's method.
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