Upper and Lower Bounds of Optimal Stopping for a Random Sequence: The Case of Finite Horizon
- Авторы: Khametov V.M.1,2, Shelemekh E.A.3
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Учреждения:
- National Research University Higher School of Economics
- Moscow Aviation Institute (National Research University)
- Central Economics and Mathematics Institute
- Выпуск: Том 80, № 3 (2019)
- Страницы: 513-530
- Раздел: Intellectual Control Systems, Data Analysis
- URL: https://journals.rcsi.science/0005-1179/article/view/151332
- DOI: https://doi.org/10.1134/S000511791903010X
- ID: 151332
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Аннотация
This paper derives upper and lower bounds of the price in the optimal stopping problem for a an adapted random sequence in the case of finite horizon. As is demonstrated below, the bounds can be found by solving the maximax and maximin setups of optimal stopping problems. For these setups, we obtain conditions under which 1) a recurrent relation is satisfied for the upper (lower) truncated sequence of optimal stopping prices; 2) an optimality criterion is constructed for the stopping times; 3) the structure and invariance of the optimal stopping times are established. Some examples with explicit solutions of the maximax and maximin setups of optimal stopping problems are given.
Об авторах
V. Khametov
National Research University Higher School of Economics; Moscow Aviation Institute (National Research University)
Автор, ответственный за переписку.
Email: khametovvm@mail.ru
Россия, Moscow; Moscow
E. Shelemekh
Central Economics and Mathematics Institute
Автор, ответственный за переписку.
Email: letis@mail.ru
Россия, Moscow
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