Year: 1996
Type: book-chapter
Abstract: A gambler (or stochastic controller) selects the distribution for the stochastic process x,Xχ,X2,... from those available in a given gambling house.An optimal stopper selects a stop rule t and pays the gambler the expected value of u(Xt), where u is a bounded, real-valued function.Under certain measurability assumptions, this game has a value and there is a transfinite algorithm for calculating it.
Source: Lecture notes-monograph series
Authors: Ashok P. Maitra, William D. Sudderth
Institution: University of Minnesota
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1576363114