Randomized Stopping Times: DOOB'S Optiomal Sampling Theorem and Optimal Stopping

DOI10.1002/MANA.19841150117MaRDI QIDQ3696225zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, H.-J. Engelbert

Publication date 1984

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19841150117

zbMATH Keywords

Doob's optional sampling theoremoptimal stopping problemrandomized stopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• On randomized stopping
• Doob's optional sampling theorem in Riesz spaces
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Cited in

(11)

• On randomized stopping
• An optional stopping theorem for nonadapted martingales
• Stopped processes and Doob's optional sampling theorem
• Corrigendum to: ``Stopped processes and Doob's optional sampling theorem
• On the stochastic behaviour of optional processes up to random times
• Optional sampling theorem for deformed submartingales
• On randomized stopping times
• scientific article; zbMATH DE number 4216884 (Why is no real title available?)
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis
• Mean-field games of optimal stopping: master equation and weak equilibria
• The optional sampling theorem for submartingales in the sequentially planned context

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