Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum

DOI10.3103/S002713221403005XMaRDI QIDQ2018030zbMATH OpenFDO

Authors A. L. Vorob'ev

Publication date 24 March 2015

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemskewed down random walk

Mathematics Subject Classification ID

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

Recommendations

• Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum
• Optimal stopping time problem for random walks with polynomial reward functions
• An optimal stopping problem for a random walk with polynomial reward functions
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• scientific article; zbMATH DE number 279471

Cites work

• A general `bang-bang' principle for predicting the maximum of a random walk
• Thou shalt buy and hold

Cited in

(1)

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

This page was built for publication: Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2018030)