Stopping the maximum of a correlated random walk, with cost for observation
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Publication:4660525
DOI10.1239/jap/1101840546zbMath1068.60060MaRDI QIDQ4660525
Publication date: 4 April 2005
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/b05db4b5ef2545b791fa45f09db8dc13c9e8f609
60G50: Sums of independent random variables; random walks
60G40: Stopping times; optimal stopping problems; gambling theory
62L15: Optimal stopping in statistics
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