Optimal stopping time for geometric random walks with power payoff function

DOI10.1134/S0005117920070036zbMATH Open1455.93213OpenAlexW3080706152MaRDI QIDQ828094FDOQ828094

Authors: O. V. Zverev, V. M. Khametov, E. A. Shelemekh 

Publication date: 14 January 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920070036

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zbMATH Keywords

generating functionstopping timedomain of continuing observationsgeometric random walksstopping domain

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Cites Work

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• Convex Analysis
• Stochastic finance. An introduction in discrete time
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
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Cited In (7)

• An optimal stopping problem for a random walk with polynomial reward functions
• Optimal stopping rules for correlated random walks with a discount
• A model of finite-step random walk with absorbent boundaries
• On infinite horizon optimal stopping of general random walk
• Optimal stopping time problem for random walks with polynomial reward functions
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• Title not available (Why is that?)

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