Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum

DOI10.3103/S0027132215040014zbMath1333.60083MaRDI QIDQ891133

A. L. Vorob'ev

Publication date: 16 November 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemsymmetric random walkoptimal moment

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• A General ‘Bang-Bang’ Principle for Predicting the Maximum of a Random Walk
• Thou shalt buy and hold

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