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/S0027132215040014zbMATH Open1333.60083MaRDI QIDQ891133FDOQ891133

Authors: A. L. Vorob'ev 

Publication date: 16 November 2015

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

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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)

Cites Work

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

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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