Constrained maximum variance stopping for a finite horizon increasing random walk

DOI10.1016/j.orl.2020.05.014zbMath1483.60062OpenAlexW3035173460MaRDI QIDQ2661506

Belleh A. Fontem

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.05.014

zbMATH Keywords

optimal controlrandom walkrisk managementnonlinear optimal stoppingconstrained variance maximization

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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