An optimal sequential procedure for a buying-selling problem with independent observations

DOI10.1239/jap/1152413734zbMath1111.62066OpenAlexW2164337485WikidataQ57009512 ScholiaQ57009512MaRDI QIDQ3410926

Dirk P. Kroese, Jonathan M. Keith, Georgy Sofronov

Publication date: 16 November 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1152413734

zbMATH Keywords

optimal stopping problemvalue of a gamebuying-selling problemmultiple stopping rule

Mathematics Subject Classification ID

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

Related Items (5)

A multiple optimal stopping rule for a buying-selling problem with a deterministic trend ⋮ Optimal exercise strategies for operational risk insurance via multiple stopping times ⋮ An optimal double stopping rule for a buying-selling problem ⋮ Optimal double stopping of a Brownian bridge ⋮ Multiple-stopping problems with random horizon

Cites Work

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• On Optimal Multiple Stopping of Markov Sequences
• Optimal Stopping and Experimental Design

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