Optimal Stopping of Two-parameter Processes on Nonstandard Probability Spaces(*) By
نویسنده
چکیده
We prove the existence of optimal stopping points for upper semicontinuous two-parameter processes defined on filtered nonstandard (Loeb) probability spaces that satisfy a classical conditional independence hypothesis. The proof is obtained via a lifting theorem for elements of the convex set of randomized stopping points, which shows in particular that extremal elements of this set are ordinary stopping points. AMS 1985 Subject Classification: 60G40, 60G57, 60G07.
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تاریخ انتشار 2008