Keywords
finite and infinite horizon
, Internal Set Theory
quasi-optimal time
optimal time
Loeb-Nelson integrability
problema de parada óptima
horizontes finitos e infinitos
Internal Set Theory
tiempo casi-óptimo
tiempo óptimo
integralidad según Loeb-Nelson
How to Cite
Abstract
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.
References
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Chow, Robbins, Slegmund (1971) Great Expectations: The Teory of Optimal Stopping. Houghton.
Cartle, P.; Feneyrol-Perrin (1988) “Comparaison des Diverses Théories D’intégration en Analyse non Standard”, Comptes Rendus de L’Académie des Sciences de Paris, Tomo 307, Serie I.
Dacunha-Castelle, D.; Duflo, M. (1983) Probabilités et Statistiques, 2. Problèmes à Temps Mobile. Masson, Paris.
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