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

作者：Sofronov Georgy Yu^*

来源：Statistical Papers, 2016, 57(4): 1107-1119.

DOI：10.1007/s00362-016-0776-5

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

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.

• 出版日期2016-12