Document Zbl 0342.60036

Temps d’arret optimal, théorie générale des processus et processus de Markov. (French) Zbl 0342.60036

Z. Wahrscheinlichkeitstheor. Verw. Geb. 39, 301-313 (1977).

Page: −5 −4 −3 −2 −1 ±0 +1 +2 +3 +4 +5 Show Scanned Page
scan of Zbl 0342.60036

MSC:

60G40	Stopping times; optimal stopping problems; gambling theory
60J25	Continuous-time Markov processes on general state spaces
60J45	Probabilistic potential theory

Cite Review PDF

Full Text: DOI

References:

[1]	Azema, J., Le retournement du temps, Ann. Sci. école Norm. Sup., 4ℴ série, 6, 439-519 (1973) · Zbl 0303.60061
[2]	Bismut, J. M., Dualité convexe, temps d’arrÊt optimal et contrÔle stochastique, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 38, 169-198 (1977) · Zbl 0336.60070
[3]	Blumenthal, R. M.; Getoor, R. K., Markov processes and potential theory (1968), New York: Academic Press, New York · Zbl 0169.49204
[4]	Dellacherie, C., Capacités et processus stochastiques, Ergebnisse der Mathematik und ihrer Grenzgebiete. Band 67 (1972), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0246.60032
[5]	Dellacherie, C.; Meyer, P. A., Probabilités et Potentiels (1975), Paris: Hermann, Paris · Zbl 0323.60039
[6]	Engelbert, H. J., On the Theory of Optimal Stopping Rules for Markov Processes, Theor. Probab. Appl., 18, nℴ 2, 304-311 (1973) · Zbl 0292.60137
[7]	Engelbert, H. J., On optimal stopping rules for Markov Processes with continuous time, Theor. Probab. Appl., 19, nℴ 2, 278-296 (1974) · Zbl 0324.60039
[8]	Fakeev, A. G., Optimal Stopping Rules for stochastic processes with continuous parameters, Theor. Probab. Appl., 15, nℴ 2, 324-331 (1970) · Zbl 0227.60030
[9]	Getoor, R. K., Markov processes: Ray processes and Right processes (1975), Berlin-Heidelberg-New York: Springer, Berlin-Heidelberg-New York · Zbl 0299.60051
[10]	Grigelionis, B. I.; Shiryaev, A. N., On Stefan’s problem and optimal stopping rules for Markov Processes, Theor. Probab. Appl., 11, nℴ 4, 541-558 (1966) · Zbl 0178.53303
[11]	Mertens, J. F., Théorie des processus stochastiques généraux. Application aux Surmartingales, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 22, 45-68 (1972) · Zbl 0236.60033
[12]	Mertens, J. F., Strongly supermedian functions and optimal stopping, Z. Wahrscheinlichkeitstheorie verw. Gebiete, 26, 119-139 (1973) · Zbl 0297.60038
[13]	Rost, H., The stopping distribution of a Markov process, Invent. Math., 14, 1-16 (1971) · Zbl 0225.60025

This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.