Optimal Stopping When the Future is Discounted

DOI10.1214/AOMS/1177698978zbMATH Open0158.17201OpenAlexW1982889964MaRDI QIDQ5540947FDOQ5540947

Authors: Lester E. Dubins, Henry Teicher 

Publication date: 1967

Published in: Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177698978

zbMATH Keywords

statistics

Cited In (13)

• Some time-invariant stopping rule problems
• A note on one-sided solutions for optimal stopping problems driven by Lévy processes
• Optimal stopping rules for correlated random walks with a discount
• On a solution of the optimal stopping problem for processes with independent increments
• On infinite horizon optimal stopping of general random walk
• Quickest detection with exponential penalty for delay
• Subfair primitive casino with a discount factor
• Subfair ?Red-and-Black? in the presence of inflation
• A bold strategy is not always optimal in the presence of inflation
• On Optimality of Bold Play for Primitive Casinos in the Presence of Inflation
• Optimal stopping rules for American and Russian options in a correlated random walk model
• Variability is beneficial in marked stopping problems
• One-sided solutions for optimal stopping problems with logconcave reward functions

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