Explicit Solutions to Some Problems of Optimal Stopping
From MaRDI portal
Publication:5566906
DOI10.1214/AOMS/1177697604zbMATH Open0177.22301OpenAlexW2014431112MaRDI QIDQ5566906FDOQ5566906
Authors: Larry Shepp Edit this on Wikidata
Publication date: 1969
Published in: Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177697604
Cited In (32)
- Duration problem on trajectories
- An optimal stopping problem with finite horizon for sums of i.i.d. random variables
- Corrected random walk approximations to free boundary problems in optimal stopping
- Optimal stopping for the exponential of a Brownian bridge
- Optimal stopping of a Brownian bridge with an unknown pinning point
- Optimally stopping the sample mean of a Wiener process with an unknown drift
- AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
- Solving non–linear optimal stopping problems by the method of time–change
- On-line VWAP Trading Strategies
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme
- Herbert Robbins and sequential analysis
- An optimal stopping problem with linear reward
- Harmonic numbers in gambler's ruin problem
- On the \(\frac{S_n}{n}\) problem
- Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
- Asymptotic inference for stochastic processes
- Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
- Optimal stopping for Shepp's urn with risk aversion
- Existence and explicit determination of optimal stopping times
- A note on randomized Shepp's urn scheme
- On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
- On a simple optimal stopping problem
- Optimal Stopping of a Brownian Bridge
- Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme
- Uniform integrability of continuous exponential martingales
- Easily determining which urns are 'favorable'
- Examples of optimal stopping via measure transformation for processes with one-sided jumps
- Stochastic differential equations for compounded risk reserves
- The right time to sell a stock whose price is driven by Markovian noise
- Note on the (non-)smoothness of discrete time value functions in optimal stopping
- Optimal double stopping of a Brownian bridge
- Regarding stopping rules for Brownian motion and random walks
This page was built for publication: Explicit Solutions to Some Problems of Optimal Stopping
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5566906)