Triangular function and continuity property of multiparameter optimal stopping value

DOI10.1080/02522667.2005.10699648MaRDI QIDQ5694537zbMATH OpenOpenAlexFDO

Authors Teruo Tanaka

Publication date 4 October 2005

Published in Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02522667.2005.10699648

zbMATH Keywords

convergence in distributionmultiparameter stochastic processoptimal stopping value

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Review text

The author considers optimal stopping problems for discrete and finite time stochastic processes with index set \(N^d\). A triangular function for a discrete time multiparameter stochastic process is formulated and the properties of this function are given. The author proves that the optimal stopping value for the multiparameter stochastic process, which is independent and uniformly integrable, is continuous for the topology of convergence in distribution. The continuity property is an extension of the results of \textit{J. Elton} [Proc. Am. Math. Soc. 105, No. 3, 736--746 (1989; Zbl 0671.60039)], who gives the property for one parameter stochastic processes.

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Cites work

• Discrete multiarmed bandits and multiparameter processes
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 862533 (Why is no real title available?)
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Cited in

(2)

• Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities
• Continuity Properties of Optimal Multiple Stopping Value

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