منابع مشابه
Non Stopping times and Stopping Theorems
Given a random time, we give some characterizations of the set of martingales for which the stopping theorems still hold. We also investigate how the stopping theorems are modified when we consider arbitrary random times. To this end, we introduce some families of martingales with remarkable properties. DOI: https://doi.org/10.1016/j.spa.2006.06.005 Posted at the Zurich Open Repository and Arch...
متن کاملTracking Stopping Times
A novel quickest detection model is proposed which can be seen as a generalization of the Bayesian changepoint setup. Suppose {(Xi, Yi)}i≥1 is a sequence of pairs of random variables, and that S is a stopping time with respect to {Xi}i≥1. The problem is to find a stopping time T with respect to {Yi}i≥1 that optimally tracks S, in the sense that T minimizes the expected reaction time E(T − S), w...
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متن کاملOn Regression-Based Stopping Times
We study approaches that fit a linear combination of basis functions to the continuation value function of an optimal stopping problem and then employ a greedy policy based on the resulting approximation. We argue that computing weights to maximize expected payoff of the greedy policy or to minimize expected squared-error with respect to an invariant measure is intractable. On the other hand, c...
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Given a stochastic process Xt, t b T CR, and s ~ R, then a) iff b): a) For every probability measure p on there is a stopping time T for Xt with law L(T) = p: b) If At is the smallest a-algebra for which Xu are measurable for all u ~ t, then P restricted to At is nonatomic for all t > s. This note began with a question of G. Shiryaev, connected with the following example. Let Wt be a standard W...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2007
ISSN: 0304-4149
DOI: 10.1016/j.spa.2006.06.005