An optimal sequential procedure for a buying-selling problem with independent observations

G. Sofronov*, Jonathan M. Keith, Dirk P. Kroese

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.

Original languageEnglish
Pages (from-to)454-462
Number of pages9
JournalJournal of Applied Probability
Volume43
Issue number2
DOIs
Publication statusPublished - 2006
Externally publishedYes

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