Métodos no estándar en el problema de la parada óptima

We analize the optimal-stopping ploblem by the use of non standard analysis techniques. Using the non standard concept of quasi-optimal time, we prove the existence of optimal times for the problems of finite and infinite horizon . The approach used in non standard analysis is that of the Internal S...

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Main Author: Lobo Segura, Jaime
Format: Artículo
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/155
http://hdl.handle.net/10669/12789
Summary: We analize the optimal-stopping ploblem by the use of non standard analysis techniques. Using the non standard concept of quasi-optimal time, we prove the existence of optimal times for the problems of finite and infinite horizon . The approach used in non standard analysis is that of the Internal Set Theory.Keywords: optimal-stopping problem, finite and infinite horizon, Internal Set Theory, quasi-optimal time, optimal time, Loeb-Nelson integrability.