On an Effective Solution of the Optimal Stopping Problem for Random Walks

DOI10.1137/S0040585X97981093MaRDI QIDQ5700638zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev, A. Novikov

Publication date 28 October 2005

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97981093

zbMATH Keywords

Appell polynomialsrate of convergence

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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

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