An optimal double stopping rule for a buying-selling problem

DOI10.1007/S11009-018-9684-6MaRDI QIDQ2176381zbMATHOpenAlexWikidataFDO

Authors Georgy Sofronov

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9684-6

zbMATH Keywords

optimal stopping rulesgeometric random walkautoregressive sequencebuying-selling problemsequential decision analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Recommendations

• A multiple optimal stopping rule for a buying-selling problem with a deterministic trend
• A bilevel programming approach to double optimal stopping
• Double optimal stopping times and dynamic pricing problem: description of the mathematical model
• Optimal double stopping time problem
• Double optimal stopping of a risk process
• Minimax perfect stopping rules for selling an asset near its ultimate maximum
• A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
• Optimal stopping problem with double reservation value property
• scientific article; zbMATH DE number 1959623
• A Variational Inequality Sufficient Condition for Optimal Stopping with Application to an Optimal Stock Selling Problem

Cites work

• scientific article; zbMATH DE number 3126759 (Why is no real title available?)
• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• A Bayesian Approach to a Generalized House Selling Problem
• A multiple optimal stopping rule for a buying-selling problem with a deterministic trend
• A multiple optimal stopping rule for sums of independent random variables
• A note on multiple stopping rules
• An autoregressive approach to house price modeling
• An optimal sequential procedure for a buying-selling problem with independent observations
• An optimal sequential procedure for a multiple selling problem with independent observations
• Analysis of heuristic solutions to the best choice problem.
• Buying and selling an asset over the finite time horizon: a non-parametric approach
• Construction of Nash equilibrium based on multiple stopping problem in multi-person game
• Double optimal stopping of a risk process
• Explicit results for a class of asset-selling problems
• Generalized sequential procedures
• Mate choice when males are in patches: optimal strategies and good rules of thumb
• Multiple buying or selling with vector offers
• On Optimal Multiple Stopping of Markov Sequences
• On multiple stopping bales
• Optimal Persistence Policies
• Optimal Sequential Assignments with Random Arrival Times
• Optimal Sequential Procedures when More Than one Stop is Required
• Optimal Strategies for Selling an Asset
• Optimal exercise strategies for operational risk insurance via multiple stopping times
• Test for optimality of an extended sequential procedure
• The Dynamic and Stochastic Knapsack Problem with Deadlines
• The Stochastic Sequential Assignment Problem With Random Deadlines
• Who solved the secretary problem

Cited in

(5)

• A multiple optimal stopping rule for a buying-selling problem with a deterministic trend
• An optimal sequential procedure for a buying-selling problem with independent observations
• An optimal sequential procedure for a multiple selling problem with independent observations
• Optimal double stopping time problem
• Double Optimal Stopping in the Fishing Problem

Describes a project that uses

Uses Software

• R
• fastGHQuad

This page was built for publication: An optimal double stopping rule for a buying-selling problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2176381)