Stopping the maximum of a correlated random walk, with cost for observation

DOI10.1239/JAP/1101840546zbMath1068.60060OpenAlexW2139886074MaRDI QIDQ4660525

Pieter C. Allaart

Publication date: 4 April 2005

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

Full work available at URL: https://semanticscholar.org/paper/b05db4b5ef2545b791fa45f09db8dc13c9e8f609

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (1)

Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model

Cites Work

• Unnamed Item
• Unnamed Item
• Directionally reinforced random walks
• Optimal stopping rules for directionally reinforced processes
• THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
• On the Characteristics of the General Queueing Process, with Applications to Random Walk
• The correlated random walk
• Some time-invariant stopping rule problems
• Optimal stopping rules for correlated random walks with a discount
• On a Generalised Two‐Coin Tossing Problem
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION

This page was built for publication: Stopping the maximum of a correlated random walk, with cost for observation