Optimal Stopping of Two-Parameter Processes on Nonstandard Probability Spaces
- 1 June 1989
- journal article
- Published by JSTOR in Transactions of the American Mathematical Society
- Vol. 313 (2) , 697-719
- https://doi.org/10.2307/2001425
Abstract
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.Keywords
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