Optimal stopping rules for correlated random walks with a discount

DOI10.1239/jap/1082999080zbMath1071.60026OpenAlexW2127611311MaRDI QIDQ4819472

Pieter C. Allaart

Publication date: 24 September 2004

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

Full work available at URL: https://doi.org/10.1239/jap/1082999080

zbMATH Keywords

momentumdiscount factoroptimality principle

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 (7)

Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy ⋮ Unnamed Item ⋮ 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 ⋮ CHARACTERIZATIONS OF OPTIMAL POLICIES IN A GENERAL STOPPING PROBLEM AND STABILITY ESTIMATING

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