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 language | English |
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Pages (from-to) | 1107-1119 |
Number of pages | 13 |
Journal | Statistical Papers |
Volume | 57 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1 Dec 2016 |
Keywords
- Buying–selling problem
- Multiple stopping rules
- Optimal stopping
- Sequential decision analysis
- Value of a game