最佳停车
可选停止定理
随机博弈
数学
停车时间
贝尔曼方程
数学优化
班级(哲学)
数理经济学
计算机科学
统计
人工智能
作者
Katia Colaneri,Tiziano De Angelis
标识
DOI:10.1287/moor.2021.1190
摘要
In this paper, we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multidimensional Markovian setting, we show that the problem is well posed in the sense that the value is indeed the unique solution to a fixed point problem in a suitable space of continuous functions, and an optimal stopping time exists. We then apply our class of problems to a model for stock trading in two different market venues, and we determine the optimal stopping rule in that case.
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