Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum

DOI10.3103/S002713221403005XzbMath1322.60044MaRDI QIDQ2018030

A. L. Vorob'ev

Publication date: 24 March 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemskewed down random walk

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
• Thou shalt buy and hold

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