Dynamic optimality in optimal variance stopping problems

DOI10.1016/J.SPL.2018.05.030zbMATH Open1395.60049OpenAlexW2807771235MaRDI QIDQ722667FDOQ722667

Authors: Bruno Buonaguidi 

Publication date: 27 July 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.030

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zbMATH Keywords

Markov processesdynamic and static optimalityoptimal variance stopping problems

Mathematics Subject Classification ID

Quadratic programming (90C20) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (7)

• Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
• Optimal stopping and dynamic allocation
• Variance optimal stopping for geometric Lévy processes
• Constrained maximum variance stopping for a finite horizon increasing random walk
• DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
• Explicit solutions to some optimal variance stopping problems
• A remark on optimal variance stopping problems

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