Optimal Buy/Sell Rules for Correlated Random Walks

DOI10.1239/JAP/1208358949MaRDI QIDQ5459906zbMATHOpenAlexFDO

Authors 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

zbMATH Keywords

multiple stoppingcorrelated random walkbuy/sell strategy

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3115413 (Why is no real title available?)
• scientific article; zbMATH DE number 3201951 (Why is no real title available?)
• A random walk problem with correlation
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• Directionally reinforced random walks
• ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
• Occupation probability of a correlated random walk and a correlated ruin problem
• On the Expected Number of Visits of a Particle before Absorption in a Correlated Random Walk
• Optimal stopping rules for correlated random walks with a discount
• Optimal stopping rules for directionally reinforced processes
• Return probabilities for correlated random walks
• Some Problems on a One-Dimensional Correlated Random Walk with Various Types of Barrier
• Some Results in a Correlated Random Walk
• THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
• The correlated random walk
• The correlated random walk with boundaries: A combinatorial solution
• The general correlated random walk

Cited in

(8)

• Favorite sites of a persistent random walk
• On a directionally reinforced random walk
• Characterizations of optimal policies in a general stopping problem and stability estimating
• Decomposing correlated random walks on common and counter movements
• Optimal stopping rules for directionally reinforced processes
• Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
• Optimal stopping rules for correlated random walks with a discount
• Optimal stopping rules for American and Russian options in a correlated random walk model

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