Optimal stopping time for geometric random walks with power payoff function

DOI10.1134/S0005117920070036zbMath1455.93213OpenAlexW3080706152MaRDI QIDQ828094

O. V. Zverev, V. M. Khametov, E. A. Shelemekh

Publication date: 14 January 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920070036

zbMATH Keywords

generating functionstopping timedomain of continuing observationsgeometric random walksstopping domain

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Convex Analysis
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• Stochastic finance. An introduction in discrete time
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