|
|
|
|
stopping time
|
(Definition)
|
|
Let $(\Omega,\mu)$ be a bounded measure space and $\EuScript{F}(\Omega)$ be a linear function space of bounded functions defined on $\Omega$ i.e. $\EuScript{F}(\Omega)\subset\EuScript{L}^\infty(\Omega)$ We would like to note two types of functionals from the dual space $\DSp$ which will be used here:
- Each function $g(x)\in\EuScript{L}^1(\Omega)$ defines a functional $\varphi\in\DSp$ in the following way: $$ \varphi(f)=\int\limits_{\Omega} g(x)\,f(x)\,d\mu. $$ Such functional we will call regular functional and function $g$ -- its generator.
- For each $x\in\Omega$ we will consider a functional $\delta_x\in\DSp$ defined as follows: \begin{equation}\label{dFn} \delta_x(f)=f(x). \end{equation} Since generally, we can not speak about values at the point for functions from $\EuScript(L)^\infty$ in the following, we assume some regularity for functions from considered spaces, so that (
) is correctly defined.
Let $(\Omega_x,\mu_x),\,(\Omega_y,\mu_y)$ be some bounded measure spaces; $\FOx,\GOy$ be some linear function spaces. Let $A:\FOx\rightarrow\GOy$ be a linear operator which has a well-defined inverse $A^{-1}:\GOy\rightarrow\FOx$
Consider an operator equation: \begin{equation}\label{OpEq} Af=g \end{equation}where $f\in\FOx$ is unknown and $g\in\GOy$ is given. We are interested to have an integral representation for solution of ( ). For this purpose we write: $$ f(x)=\delta_x(f)=\delta_x(A^{-1}(g))=[\, (A^{-1})^*\delta_x \,](g). $$
If $\forall x\in\Omega_x$ the functional $(A^{-1})^*\delta_x$ is regular with generator $G(\cdot,y)\in\EuScript{L}^1(\Omega_y)$ then $G$ is called <</SPAN>#57#>Green's function of operator $A$ and solution of ( ) admits the following integral representation: $$ f(x)=\int\limits_{\Omega_y}G(x,y)\,g(y)\,d\mu_y $$
|
"stopping time" is owned by gel. [ full author list (2) | owner history (1) ]
|
|
(view preamble | get metadata)
Cross-references: number, machine, information, current, range, adapted process, natural filtration, stochastic process, unions, closed under, uncountable, real numbers, continuous, discrete, outcome, collection, variable, index set, event, filtration, random variable
There are 24 references to this entry.
This is version 8 of stopping time, born on 2004-10-04, modified 2008-12-17.
Object id is 6294, canonical name is StoppingTime.
Accessed 8533 times total.
Classification:
| AMS MSC: | 60G40 (Probability theory and stochastic processes :: Stochastic processes :: Stopping times; optimal stopping problems; gambling theory) | | | 60K05 (Probability theory and stochastic processes :: Special processes :: Renewal theory) |
|
|
|
|
|
|
Pending Errata and Addenda
|
|
|
|
|
|
|
|
|
|
|