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

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

Statistical Papers, 2016, vol. 57, issue 4, No 14, 1107-1119

Abstract: 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.

Keywords: Sequential decision analysis; Optimal stopping; Multiple stopping rules; Value of a game; Buying–selling problem; 60G40; 62L15; 62P20; 91B26 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-016-0776-5

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