Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities
This paper deals with the optimal stopping problem for discrete time multi-parameter stochastic processes with the index set \(\mathbb{N}^d\) [see \textit{G. A.~Edgar} and \textit{L.~Sucheston}, Stopping times and directed processes. Encyclopedia of Mathematics and Its Applications. 47. Cambridge: Cambridge University Press (1992; Zbl 0779.60032)] and the prophet inequalities [see \textit{Th. P. Hill} and \textit{R. P. Kertz}, Contemp. Math. 125, 191--207 (1992; Zbl 0794.60040)]. It is shown that the optimal stopping value of a discrete time multi-parameter integrable stochastic process whose negative part is uniformly integrable, is lower semi-continuous for the topology of convergence in distribution. This is extension of the result by \textit{J. Elton} [Proc. Am. Math. Soc. 105, No.~3, 736--746 (1989; Zbl 0671.60039)]. Next, the lower semi-continuity property of the optimal stopping value is applied to the multi-parameter prophet inequality [cf. \textit{U. Krengel} and \textit{L. Sucheston}, J. Multivariate Anal.~11, 199--229 (1981; Zbl 0461.60059)].
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