MULTI-VALUED OPTIMAL STOPPING PROBLEM WITH MONOTONICITY - Collections

＜journal article＞
MULTI-VALUED OPTIMAL STOPPING PROBLEM WITH MONOTONICITY

Creator	Creator Name Ohtsubo, Yoshio 大坪, 義夫 Affiliation Affiliation Name Department of Mathematics, Faculty of Science, Kochi University 高知大学理学部数理情報科学科
Language	English
Publisher	Research Association of Statistical Sciences
Publisher	統計科学研究会
Date	1999-12
Source Title	Bulletin of informatics and cybernetics
Vol	31
Issue	2
First Page	137
Last Page	146
Publication Type	Version of Record
Access Rights	open access
Crossref DOI	https://doi.org/10.5109/13486
Related DOI	Bulletin of informatics and cybernetics \|\| 31(2) \|\| p137-146
Related DOI	http://bic.math.kyushu-u.ac.jp/
Related URI	Bulletin of informatics and cybernetics \|\| 31(2) \|\| p137-146
Related URI	http://bic.math.kyushu-u.ac.jp/
Relation	Bulletin of informatics and cybernetics \|\| 31(2) \|\| p137-146
Relation	http://bic.math.kyushu-u.ac.jp/
Abstract	We consider a multi-valued optimal stopping problem for indexed random sequences. We perform a scalarization of the random sequences and give characterization of optimal value process for scalarized p...roblem. We also find optimal stopping time in the sense of Pareto optimality for original problem. We apply its result to monotone cases, in which it is given an explicit optimal stopping time. It is given sufficient conditions for our problem to be a monotone case. One of conditions is a kind of concavity with regard to time parameter.show more

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