A matrix representation of fields and filtrations and its application to stochastic control problems
Teruo Tanaka · Journal of Information and Optimization Sciences · 1997
In this paper, we treat control problems for general discrete time stochastic processes, for example, one-parameter optimal stopping problems with control variables, Dynkin games and two-parameter optimal stopping problems. We also show that solving those problems is equivalent to solving mathematical programming problems by means of the matrix representation of fields and filtrations.