On the Character of the Smallest and Largest Optimal Generated Rule
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Abstract:
Assume that (Xn,?n)∞1 is an adapted reward sequence, (γn)∞1) is snell's envelope of Xn,(An) is a predictable increased process with A0=0 in Doob-Meyer's decomposition of (γn). In this paper,from J. Klass,we prove that σ1=inf{K≥1:Xk1≥γk} is the smallest semi-optimal and the largest strong regular generalized rule,and K0?sup{n≥0:An=0}<∞ is the largest reqular generalized rule. Hence another expression of the uniqueness of optimal generalized rule is given.
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Jin Zhiming. On the Character of the Smallest and Largest Optimal Generated Rule[J]. Journal of National University of Defense Technology,1990,12(3):58-62.