Uncertainty and Probability Optimal Stopping

Optimal Stopping Problems: Classical Version

Let

(

Ω,F,P,(Ft)t=0, 1 , 2 ,...

)

be a filtered probability space.

Given a sequenceX 0 ,X 1 ,...,XTof random variables

adapted to the filtration (Ft)

choose a stopping timeτ≤T

that maximizesEXτ.

classic: Snell, Chow/Robbins/Siegmund: Great Expectations