Optimal stopping time problem for random walks with polynomial reward functions
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Publication:2922896
DOI10.1090/S0094-9000-2013-00895-3zbMath1300.60058OpenAlexW2034733429MaRDI QIDQ2922896
V. V. Tomashyk, Yuliya S. Mishura
Publication date: 15 October 2014
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00895-3
Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (3)
A general method for finding the optimal threshold in discrete time ⋮ A general approximation method for optimal stopping and random delay ⋮ Optimal Stopping for Lévy Processes with One-Sided Solutions
Cites Work
- Stochastic processes and orthogonal polynomials
- An iterative approximation procedure for the distribution of the maximum of a random walk
- On distribution tail of the maximum of a random walk
- A Random Walk with a Skip-Free Component and the Lagrange Inversion Formula
- Optimal Stopping for Partial Sums
- On an Effective Solution of the Optimal Stopping Problem for Random Walks
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