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.
参考文献
相似文献
引证文献
引用本文
金治明.最小、最大广义最优停止规则的特征. On the Character of the Smallest and Largest Optimal Generated Rule[J].国防科技大学学报,1990,12(3):58-62.