Optimal stopping rules for directionally reinforced processes

DOI10.1239/AAP/999188325zbMath0988.60039OpenAlexW1963495333MaRDI QIDQ2749134

Michael Monticino, Pieter C. Allaart

Publication date: 10 July 2002

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0fdd5fd7d447fbdd1fe32ba7dafcff68331b32cc

zbMATH Keywords

optimal stoppingcorrelated random walkmultiple stopping problem

Mathematics Subject Classification ID

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

Related Items (7)

On a directionally reinforced random walk ⋮ Optimal stopping rules for correlated random walks with a discount ⋮ Stopping the maximum of a correlated random walk, with cost for observation ⋮ Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model ⋮ Limit Theorems and Absorption Problems for One-Dimensional Correlated Random Walks ⋮ Optimal Buy/Sell Rules for Correlated Random Walks ⋮ Non-homogeneous random walks on a semi-infinite strip

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