An effective method for the explicit solution of sequential problems on the real line
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Publication:2986841
DOI10.1080/07474946.2016.1275314zbMath1427.60066OpenAlexW2591655567MaRDI QIDQ2986841
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Publication date: 16 May 2017
Published in: Sequential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474946.2016.1275314
optimal stoppingMarkov processesrunning maximum processgeneralized parking problemsmonotone stopping rulesLorden's testthreshold times
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
Related Items (7)
General optimal stopping with linear cost ⋮ A general method for finding the optimal threshold in discrete time ⋮ A note on one-sided solutions for optimal stopping problems driven by Lévy processes ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ One-sided solutions for optimal stopping problems with logconcave reward functions ⋮ Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen ⋮ Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen
Cites Work
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