Optimal Buy/Sell Rules for Correlated Random Walks
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Publication:5459906
DOI10.1239/jap/1208358949zbMath1136.60028MaRDI QIDQ5459906
Pieter C. Allaart, Michael Monticino
Publication date: 30 April 2008
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1208358949
60G50: Sums of independent random variables; random walks
60G40: Stopping times; optimal stopping problems; gambling theory
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