Optimal stopping time for geometric random walks with power payoff function

DOI10.1134/S0005117920070036MaRDI QIDQ828094zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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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
• scientific article; zbMATH DE number 4121789 (Why is no real title available?)

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