| 引用本文: | 任建芳,王石.最优停止理论中离散化方法的应用.[J].国防科技大学学报,1998,20(2):114-116.[点击复制] |
| Ren Jianfang,Wang Shi.Application of Discrete Approximation in Optimal Stopping Theory[J].Journal of National University of Defense Technology,1998,20(2):114-116[点击复制] |
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| 最优停止理论中离散化方法的应用 |
| 任建芳, 王石 |
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(国防科技大学 系统工程与应用数学系 湖南 长沙 410073)
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| 摘要: |
| 离散化方法是研究连续参数最优停止理论和马尔可夫过程最优停止理论的有效方法。本文对这一方法进行了阐述, 并用此方法解决了两个实际问题。 |
| 关键词: 最优停止理论, Mertens 引理, Poisson 过程 |
| DOI： |
| 投稿日期：1997-11-05 |
| 基金项目: |
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| Application of Discrete Approximation in Optimal Stopping Theory |
| Ren Jianfang, Wang Shi |
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(Department of Systems Engineering and Applied Mathematics, NUDT, Changsha, 410073)
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| Abstract: |
| Discrete Approximation is an effcient research means for continuous parameter oprimal sropping theory and Markov processes optimal stopping theory. This paper expounds this means in detail, and also uses it to solve two practical problems. |
| Keywords: Optimal stopping theory, Mertens corollary, Possion processes |
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