Optimal multiple stopping problems for discrete time multiparameter stochastic processes

Abstract

This paper is concerned with the optimal stopping problem for discrete time multiparameter stochastic processes with the index set Nd . The definition of a multiple stopping point and a multiple tactic, and the formulation of a multiple stopping problem for multiparameter stochastic processes are provided, within which a constructive solution is given by using the Snell’s method. Moreover the structure of optimal and ε-optimal stopping points, and the sufficient condition for the optimal multiple stopping point to be finite, are given.