An optimal double stopping rule for a buying-selling problem

Georgy Yu Sofronov*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    4 Citations (Scopus)

    Abstract

    We consider a buying-selling problem with a finite time horizon when two stops of a sequence of dependent observations can be made. The aim is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we obtain an optimal double stopping rule and apply it for a geometric random walk and an autoregressive sequence.

    Original languageEnglish
    Pages (from-to)1-12
    Number of pages12
    JournalMethodology and Computing in Applied Probability
    Volume22
    Issue number1
    Early online date3 Nov 2018
    DOIs
    Publication statusPublished - Mar 2020

    Keywords

    • Sequential decision analysis
    • Optimal stopping rules
    • Buying-selling problem
    • Geometric random walk
    • Autoregressive sequence

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