Stochastic dynamic programming
In the Örst optimal stopping problem above introduce a special statex
fk(xk,uk,ξk) $
8
<
:
x if xk=x
x if xk 6 =x,uk=stop
ξk otherwise
g(xT) $
xT if xT 6 =x
0 otherwise
uk(xk,uk,ξk) $
ξk( 1 +r)T k if xk 6 =x,uk=stop
0 otherwise
U(xk) $
∅ if xk=x
fstop,continueg otherwise