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

buying-selling problemgame valuemultiple stopping rulesoptimal stoppingsequential decision analysis

Mathematics Subject Classification ID

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

Recommendations

• An optimal double stopping rule for a buying-selling problem
• An optimal sequential procedure for a buying-selling problem with independent observations
• A multiple optimal stopping rule for sums of independent random variables
• An optimal sequential procedure for a multiple selling problem with independent observations
• Multiple buying or selling with vector offers

Cites work

• 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
• scientific article; zbMATH DE number 1865420 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Multiple buying or selling with vector offers
• On multiple stopping bales
• On Optimal Multiple Stopping of Markov Sequences
• Optimal exercise strategies for operational risk insurance via multiple stopping times
• Optimal Stopping and Experimental Design
• Optimal Strategies for Selling an Asset
• Test for optimality of an extended sequential procedure

Cited in

(8)

• Minimax perfect stopping rules for selling an asset near its ultimate maximum
• An optimal double stopping rule for a buying-selling problem
• An optimal sequential procedure for a multiple selling problem with independent observations
• An optimal sequential procedure for a buying-selling problem with independent observations
• scientific article; zbMATH DE number 1332984 (Why is no real title available?)
• The house-selling problem with reward rate criterion
• Optimal Shopping When the Sales Are on—a Markovian Full-Information Best-Choice Problem
• An overview of approximate dynamic programming methods for optimal stopping problems

This page was built for publication: A multiple optimal stopping rule for a buying-selling problem with a deterministic trend

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2374438)