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.
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Li Bicheng, Luo Jianshu, Jin Zhiming. A Continuous-time Theft Problem[J]. Journal of National University of Defense Technology,1996,18(1):103-109.