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

Georgy Yu Sofronov

doi:10.1007/s00362-016-0776-5

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

Georgy Yu Sofronov^*

^*Corresponding author for this work

Centre for Risk Analytics

Research output: Contribution to journal › Article › peer-review

3 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 language	English
Pages (from-to)	1107-1119
Number of pages	13
Journal	Statistical Papers
Volume	57
Issue number	4
DOIs	https://doi.org/10.1007/s00362-016-0776-5
Publication status	Published - 1 Dec 2016

Keywords

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

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10.1007/s00362-016-0776-5

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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.",

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

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