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research article

On randomized stopping points and perfect graphs

Dalang, Robert C.  
•
Trotter, L. E. Jr.
•
de Werra, Dominique  
1988
Journal of Combinatorial Theory, Series B

Randomized stopping points form a convex set associated with the information structure that arises in the context of the optimal stopping problem for two-parameter processes. We study combinatorial properties of this structure when the underlying space is finite, in which case this convex set can be identified with a bounded polyhedron. Study of the extreme points of this polytope motivates the definition of an apparently new class of perfectly orderable graphs. Properties of this class of graphs are examined. For this setting, it is shown that under a classical hypothesis of the probabilistic model, the extremal elements of the set of randomized stopping points are precisely ordinary stopping points.

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Type
research article
DOI
10.1016/0095-8956(88)90076-7
Author(s)
Dalang, Robert C.  
Trotter, L. E. Jr.
de Werra, Dominique  
Date Issued

1988

Publisher

Elsevier

Published in
Journal of Combinatorial Theory, Series B
Volume

45

Issue

3

Start page

320

End page

344

Subjects

randomized stopping points

•

optimal stopping

•

perfectly

•

orderable graphs

•

perfect graphs

•

perfect matrices

•

filtrations

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
PROB  
ROSE  
Available on Infoscience
December 1, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/31997
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