An Optimal Double Stopping Rule for a Buying-Selling Problem

Georgy Yu. Sofronov ()
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Georgy Yu. Sofronov: Macquarie University

Methodology and Computing in Applied Probability, 2020, vol. 22, issue 1, 1-12

Abstract: 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.

Keywords: Sequential decision analysis; Optimal stopping rules; Buying-selling problem; Geometric random walk; Autoregressive sequence; 60G40; 62L15; 62P20; 91B26 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11009-018-9684-6

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