Optimal multiple stopping problems for discrete time multiparameter stochastic processes
For a stochastic field \((Y(z))\) with \(d\)-dimensional discrete time (see the following review; Zbl 1054.60047), the problem of multiple optimal stopping is considered. Multiple means here double stopping. Before the second stopping, at each stage the decision-maker has the option to proceed from \(z\) to \(z+e_j\) where \(e_j\) is an arbitrary unit vector. At the second stopping, one obtains a reward what is a known function of the whole observed history of \((Y(z))\). By Snell's envelope technique, an \((\varepsilon)\)-optimal tactic can be derived. A condition is given under which the optimal tactic is finite.
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