A sequential game and envelopes of stochastic processes

DOI10.1080/17442508308833258MaRDI QIDQ3957717zbMATH OpenOpenAlexFDO

Authors D. P. Kennedy

Publication date 1983

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508308833258

zbMATH Keywords

multiplicative decomposition of supermartingalesoptimal stoppingsequential gameSnell envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Stochastic games, stochastic differential games (91A15) Probabilistic games; gambling (91A60)

Cites work

• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Optimal predictable transforms
• Stimulating Prices in a Stochastic Model of Resource Allocation
• Strong envelopes of stochastic processes and a penalty method^†

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