10.4. Let Xt be an Itô diffusion on R" and g: R" → R+ a continuous reward function. Define 9° (x) = sup{E*[g(X,)]; t stopping time, E*[r]

Extracted text: 10.4. Let Xt be an Itô diffusion on R" and g: R" → R+ a continuous reward function. Define 9° (x) = sup{E*[g(X,)]; t stopping time, E*[r] < }.="" show="" that="" g°="g*." (hint:="" if="" 7="" is="" a="" stopping="" time="" put="" t="TAk" for="" k="1,2,..." and="" consider="" e"="" [g(x;)="" ·="" x,c«]="">< e"[="">