Optimal stopping
αT = 0.
αt = E(max(αt+ 1 ,ξt))=Zαt+ 1
0αt+ 1 dF(x)+Z∞
αt+ 1xdF(x)== αt+ 1 F(αt+ 1 )+Z∞
αt+ 1xdF(x).
greg delong
(Greg DeLong)
#1