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Teoriya Veroyatnostei i ee Primeneniya, 1966, Volume 11, Issue 4, Pages 612–631
(Mi tvp662)
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This article is cited in 73 scientific papers (total in 73 papers)
On Stefan's problem and optimal stopping rules for Markov processes
B. I. Grigelionis, A. N. Shiryaev Moscow
Abstract:
Let $X=\{x_i,\zeta,\mathscr M_i,\mathbf P_x\}$ be a homogeneous Markov process with the phase space $E\subseteq R^n$. Let us denote $\tilde s(x)=\sup\limits_{\tau\in\mathfrak M}\mathbf M_xg(x_\tau)$ where $\mathfrak M$ is the class of Markov stopping
moments. The purpose of this article is to find those conditions under which the finding of the optimal stopping moment $\widetilde\tau$ and the “cost” $\widetilde s(x)$ is equivalent to the solution of generalized Stefan's problem (5).
Received: 25.04.1966
Citation:
B. I. Grigelionis, A. N. Shiryaev, “On Stefan's problem and optimal stopping rules for Markov processes”, Teor. Veroyatnost. i Primenen., 11:4 (1966), 612–631; Theory Probab. Appl., 11:4 (1966), 541–558
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https://www.mathnet.ru/eng/tvp662 https://www.mathnet.ru/eng/tvp/v11/i4/p612
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Abstract page: | 750 | Full-text PDF : | 306 | First page: | 1 |
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