Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum

DOI10.3103/S0027132215040014MaRDI QIDQ891133zbMATH OpenFDO

Authors A. L. Vorob'ev

Publication date 16 November 2015

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemsymmetric random walkoptimal moment

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A general `bang-bang' principle for predicting the maximum of a random walk
• Thou shalt buy and hold

Cited in

(2)

• Optimal stopping time problem for random walks with polynomial reward functions
• Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum

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