Dynamic optimality in optimal variance stopping problems

DOI10.1016/J.SPL.2018.05.030zbMath1395.60049OpenAlexW2807771235MaRDI QIDQ722667

Bruno Buonaguidi

Publication date: 27 July 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.030

zbMATH Keywords

Markov processesdynamic and static optimalityoptimal variance stopping problems

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Quadratic programming (90C20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Constrained maximum variance stopping for a finite horizon increasing random walk

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