An optimal stopping problem with finite horizon for sums of i.i.d. random variables
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Publication:1098165
DOI10.1016/0304-4149(87)90054-8zbMath0636.60046OpenAlexW1985460312MaRDI QIDQ1098165
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
finite horizonoptimal stopping problemasymptotic behaviour of the optimal stopping timestopping problem for Brownian motion
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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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