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An elementary approach to optimal stopping problems for AR(1) sequences

Författare och institution:
Sören Christensen (Institutionen för matematiska vetenskaper, matematisk statistik, Chalmers/GU); A. Irle (-); A. Novikov (-)
Publicerad i:
Sequential Analysis, 30 ( 1 ) s. 79-93
ISSN:
0747-4946
E-ISSN:
1532-4176
Publikationstyp:
Artikel, refereegranskad vetenskaplig
Publiceringsår:
2011
Språk:
engelska
Fulltextlänk:
Sammanfattning (abstract):
Optimal stopping problems form a class of stochastic optimization problems that has a wide range of applications in sequential statistics and mathematical finance. Here we consider a general optimal stopping problem with discounting for autoregressive processes. Our strategy for a solution consists of two steps: First we give elementary conditions to ensure that an optimal stopping time is of threshold type. Then the resulting one-dimensional problem of finding the optimal threshold is to be solved explicitly. The second step is carried out for the case of exponentially distributed innovations. © Taylor & Francis Group, LLC.
Ämne (baseras på Högskoleverkets indelning av forskningsämnen):
NATURVETENSKAP ->
Matematik ->
Sannolikhetsteori och statistik ->
Matematisk statistik
Nyckelord:
Autoregressive sequence , Exponential innovations , Optimal stopping , Threshold times
Postens nummer:
219244
Posten skapad:
2015-07-02 08:06
Posten ändrad:
2016-05-19 14:48

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