An optimal double stopping rule for a buying-selling problem

DOI10.1007/S11009-018-9684-6zbMath1434.60122OpenAlexW2898917926WikidataQ128993987 ScholiaQ128993987MaRDI QIDQ2176381

Georgy Sofronov

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9684-6

zbMATH Keywords

optimal stopping rulesgeometric random walkautoregressive sequencebuying-selling problemsequential decision analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stopping times; optimal stopping problems; gambling theory (60G40) Auctions, bargaining, bidding and selling, and other market models (91B26) Optimal stopping in statistics (62L15)

Uses Software

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• fastGHQuad

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