| 引用本文: | 李弼程,罗建书,金治明.连续情形的窃贼问题.[J].国防科技大学学报,1996,18(1):103-109.[点击复制] |
| Li Bicheng,Luo Jianshu,Jin Zhiming.A Continuous-time Theft Problem[J].Journal of National University of Defense Technology,1996,18(1):103-109[点击复制] |
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| 连续情形的窃贼问题 |
| 李弼程, 罗建书, 金治明 |
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(国防科技大学 系统工程与数学系 湖南 长沙 410073)
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| 摘要: |
| 讨论了连续时间上的窃贼问题。Jt是 [0,t] 上窃贼作案的次数, {Jt}t≥0是 Poisson 过程；收获过程与风险过程都是独立同分布的时间序列。利用弱无穷小算子，我们找出了最优停时规则。 |
| 关键词: 最优停时规则，马氏过程，弱无穷小算子，窃贼问题 |
| DOI： |
| 投稿日期：1995-09-18 |
| 基金项目:国家自然科学基金资助项目 |
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| A Continuous-time Theft Problem |
| Li Bicheng, Luo Jianshu, Jin Zhiming |
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(Department of System Engineering and Mathematics NUDT，Changsha，410073)
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| Abstract: |
| In this paper，we discuss the theft problem in continuous time. Jtis the theft number of [0,t] and {Jt}t≥0 is a Poisson process. Profit process and risk process are all i. i. d time series. We find optimal stopping rules by using the weak infinitesimal generator of markov process. |
| Keywords: optimal stopping rule,morkov process,weak infinitesimal generator,theft problem |
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