Optimal Buy/Sell Rules for Correlated Random Walks
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Publication:5459906
DOI10.1239/JAP/1208358949zbMATH Open1136.60028OpenAlexW2163354307MaRDI QIDQ5459906FDOQ5459906
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
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Cites Work
- ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
- THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
- Title not available (Why is that?)
- The correlated random walk
- Optimal stopping rules for directionally reinforced processes
- The general correlated random walk
- Directionally reinforced random walks
- Return probabilities for correlated random walks
- Conditional expected durations of play given the ultimate outcome for a correlated random walk
- Some Problems on a One-Dimensional Correlated Random Walk with Various Types of Barrier
- Occupation probability of a correlated random walk and a correlated ruin problem
- A random walk problem with correlation
- On the Expected Number of Visits of a Particle before Absorption in a Correlated Random Walk
- Title not available (Why is that?)
- Some Results in a Correlated Random Walk
- The correlated random walk with boundaries: A combinatorial solution
- Optimal stopping rules for correlated random walks with a discount
Cited In (7)
- On a directionally reinforced random walk
- Optimal Stopping Rules for American and Russian Options in a Correlated Random Walk Model
- Optimal stopping rules for correlated random walks with a discount
- Characterizations of optimal policies in a general stopping problem and stability estimating
- Favorite sites of a persistent random walk
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- Optimal stopping rules for directionally reinforced processes
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