Optimal stopping time problem for random walks with polynomial reward functions

DOI10.1090/S0094-9000-2013-00895-3MaRDI QIDQ2922896zbMATH OpenOpenAlexFDO

Authors 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

Appell polynomialsrandom walksreward functionsstopping times

Mathematics Subject Classification ID

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

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Cites work

• A random walk with a skip-free component and the Lagrange inversion formula
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• An optimal stopping problem for a random walk with polynomial reward functions
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• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• On distribution tail of the maximum of a random walk
• On the exact distributional asymptotics for the supremum of a random walk with increments in a class of light-tailed distribution
• Optimal Stopping for Partial Sums
• Stochastic processes and orthogonal polynomials
• The critical case of the Cramer-Lundberg theorem on the asymptotic tail behavior of the maximum of a negative drift random walk

Cited in

(9)

• Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum
• Optimal stopping for Lévy processes with one-sided solutions
• On a solution of the optimal stopping problem for processes with independent increments
• An optimal stopping problem for a random walk with polynomial reward functions
• An optimal stopping problem for random walks with non-zero drift
• A general method for finding the optimal threshold in discrete time
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• A general approximation method for optimal stopping and random delay
• Optimal stopping time for geometric random walks with power payoff function

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