A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
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Publication:4442989
DOI10.1137/S036301290038111XzbMath1037.93079MaRDI QIDQ4442989
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
62L15: Optimal stopping in statistics
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