A multiple optimal stopping rule for a buying-selling problem with a deterministic trend

DOI10.1007/S00362-016-0776-5MaRDI QIDQ2374438zbMATH OpenOpenAlexFDO

Authors Georgy Sofronov

Publication date 15 December 2016

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-016-0776-5

zbMATH Keywords

optimal stoppinggame valuebuying-selling problemsequential decision analysismultiple stopping rules

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)

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Cites work

• scientific article; zbMATH DE number 1865420 (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 sums of independent random variables
• A note on multiple stopping rules
• An optimal sequential procedure for a buying-selling problem with independent observations
• An optimal sequential procedure for a multiple selling problem with independent observations
• Buying and selling an asset over the finite time horizon: a non-parametric approach
• Explicit results for a class of asset-selling problems
• Generalized sequential procedures
• Multiple buying or selling with vector offers
• On Optimal Multiple Stopping of Markov Sequences
• On multiple stopping bales
• Optimal Stopping and Experimental Design
• 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

Cited in

(6)

• The house-selling problem with reward rate criterion
• An optimal sequential procedure for a multiple selling problem with independent observations
• An optimal double stopping rule for a buying-selling problem
• Minimax perfect stopping rules for selling an asset near its ultimate maximum
• Optimal Shopping When the Sales Are on—a Markovian Full-Information Best-Choice Problem
• An optimal sequential procedure for a buying-selling problem with independent observations

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