A multiple optimal stopping rule for a buying-selling problem with a deterministic trend

Georgy Yu Sofronov*

*Corresponding author for this work

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We consider a buying–selling problem with the finite time horizon when several stops of a sequence of independent random variables can be made. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we obtain an optimal stopping rule and the value of a game.

Original languageEnglish
Pages (from-to)1107-1119
Number of pages13
JournalStatistical Papers
Volume57
Issue number4
DOIs
Publication statusPublished - 1 Dec 2016

Keywords

  • Buying–selling problem
  • Multiple stopping rules
  • Optimal stopping
  • Sequential decision analysis
  • Value of a game

Fingerprint Dive into the research topics of 'A multiple optimal stopping rule for a buying-selling problem with a deterministic trend'. Together they form a unique fingerprint.

Cite this