Optimal stopping in the stock market

DOI10.1214/AOP/1176996747zbMATH Open0275.62070OpenAlexW2032935876MaRDI QIDQ2265775FDOQ2265775

Authors: David Griffeath, J. Laurie Snell 

Publication date: 1974

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176996747

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Game theory (91A99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cited In (5)

• The trap of complacency in predicting the maximum
• Rank-based selection strategies for the random walk process
• On-line VWAP Trading Strategies
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• On dynamic investment strategies

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