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Teoriya Veroyatnostei i ee Primeneniya, 1971, Volume 16, Issue 1, Pages 183–188 (Mi tvp2001)  

This article is cited in 26 scientific papers (total in 26 papers)

Short Communications

Optimal stopped games

Yu. I. Kifer

Moscow
Abstract: Let ($\Omega$, $\mathscr F$, $\mathbf P$) be the probability space, $\mathscr F_0\subseteq\mathscr F_1\subseteq\dots\subseteq\mathscr F_n\subseteq\dots\subseteq\mathscr F$ a nondecreasing sequence of $\sigma$-algebras. Let random variables $x_n$, $\varphi_n$ be $\mathscr F_n$-measurable ($n=0,1,\dots$).
The process may be stopped by the 1st player at the $n$th step if $\varphi_n>0$, and by the 2nd player if $\varphi_n<0$. The 2nd player gets from the 1st one the sum $x_n$ provided the process is stopped on the $n$th step. The process where the role of $\varphi_n$ plays
$$ \varphi_n^L= \begin{cases} \varphi_n,&\varphi_n>0, \\ 0,&\varphi_\le0, \end{cases} $$
is called the minorizing process and the process where the role of $\varphi_n$ plays
$$ \varphi_n^M= \begin{cases} 0,&\varphi_\ge0, \\ \varphi_n,&\varphi_n<0, \end{cases} $$
is called the majorizing process. We suppose that $\mathbf M(\sup\limits_n|x_n|)<\infty$.
We prove that if there exists an optimal policy in the minorizing (majorizing) process, starting at the $n$th step, then the policy
\begin{gather*} \sigma^k=\inf\{t\colon t\ge k,\quad\varphi_t>0,\quad x_t\le w_t\}\quad(\tau^k=\inf\{t\colon t\ge k,\quad\varphi_t<0,\quad x_t\ge w_t\}) \\ (k=0,\dots,n) \end{gather*}
is optimal for the first (second) player in the initial game starting at the $k$th step. (Here $w_t$ is the value of the initial game starting at the $t$th step. The existence of $w_t$ is proved in [1].)
Received: 25.09.1968
English version:
Theory of Probability and its Applications, 1971, Volume 16, Issue 1, Pages 185–189
DOI: https://doi.org/10.1137/1116018
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. I. Kifer, “Optimal stopped games”, Teor. Veroyatnost. i Primenen., 16:1 (1971), 183–188; Theory Probab. Appl., 16:1 (1971), 185–189
Citation in format AMSBIB
\Bibitem{Kif71}
\by Yu.~I.~Kifer
\paper Optimal stopped games
\jour Teor. Veroyatnost. i Primenen.
\yr 1971
\vol 16
\issue 1
\pages 183--188
\mathnet{http://mi.mathnet.ru/tvp2001}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=294014}
\zmath{https://zbmath.org/?q=an:0238.90085}
\transl
\jour Theory Probab. Appl.
\yr 1971
\vol 16
\issue 1
\pages 185--189
\crossref{https://doi.org/10.1137/1116018}
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  • https://www.mathnet.ru/eng/tvp/v16/i1/p183
  • This publication is cited in the following 26 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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