An optimal stopping problem with finite horizon for sums of i.i.d. random variables

DOI10.1016/0304-4149(87)90054-8zbMath0636.60046OpenAlexW1985460312MaRDI QIDQ1098165

Wolfgang Stadje

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90054-8

zbMATH Keywords

finite horizonoptimal stopping problemasymptotic behaviour of the optimal stopping timestopping problem for Brownian motion

Mathematics Subject Classification ID

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

Related Items (1)

A new integral equation for Brownian stopping problems with finite time horizon

Cites Work

• On stopping rules and the expected supremum of \(S_n/a_n\) and \(| S_n|/a_n\)
• Optimal stopping variables for stochastic processes with independent increments
• Optimal stopping variables for Brownian motion
• Existence of optimal stopping rules for linear and quadratic rewards
• Explicit Solutions to Some Problems of Optimal Stopping
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Existence of Optimal Stopping Rules for Rewards Related to $S_n/n$
• Regarding stopping rules for Brownian motion and random walks
• Optimal stopping problems for Brownian motion
• The Structure of the Optimal Stopping Rule in the $S_n/n$ Problem
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