Arret optimal avec contrainte
Monique Pontier, J. Szpirglas · Advances in Applied Probability · 1983
Given two optional positive bounded processes Y and Y′ , defined on a probability space , and a non-negative real a, the problem is to maximize the average reward E ( Y T ) among all the stopping times T verifying the following constraint: The problem is solved by Lagrangian saddlepoint techniques in the set of randomized stopping times including the set of stopping times.