Optimal stopping and cluster point processes

DOI10.1524/STND.21.3.261.23431zbMATH Open1041.60041OpenAlexW2282397371MaRDI QIDQ4451687FDOQ4451687

Ludger Rüschendorf, Robert Kühne

Publication date: 1 March 2004

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e71e60be3840e0c880b008b7c8f58f7108b50539

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zbMATH Keywords

point processesPoisson processoptimal stoppingmoving average processrandom cluster process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (5)

• A general framework for optimal stopping problems associated with multivariate point processes, and applications
• On approximative solutions of optimal stopping problems
• An unexpected connection between branching processes and optimal stopping
• Approximate Optimal Stopping of Dependent Sequences
• Optimal Shopping When the Sales Are on—a Markovian Full-Information Best-Choice Problem

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