Optimal stopping time problem for random walks with polynomial reward functions

DOI10.1090/S0094-9000-2013-00895-3zbMath1300.60058OpenAlexW2034733429MaRDI QIDQ2922896

V. V. Tomashyk, Yuliya S. Mishura

Publication date: 15 October 2014

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00895-3

zbMATH Keywords

random walksAppell polynomialsstopping timesreward functions

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

A general method for finding the optimal threshold in discrete time ⋮ A general approximation method for optimal stopping and random delay ⋮ Optimal Stopping for Lévy Processes with One-Sided Solutions

Cites Work

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• A Random Walk with a Skip-Free Component and the Lagrange Inversion Formula
• Optimal Stopping for Partial Sums
• On an Effective Solution of the Optimal Stopping Problem for Random Walks

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