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Optimal Stopping Time for Geometric Random Walks with Power Payoff Function.
- Source :
-
Automation & Remote Control . Jul2020, Vol. 81 Issue 7, p1192-1210. 19p. - Publication Year :
- 2020
-
Abstract
- Two optimal stopping problems for geometric random walks with the observer's power payoff function, on the finite and infinite horizons, are solved. For these problems, an explicit form of the cut value and also optimal stopping rules are established. It is proved that the optimal stopping rules are nonrandomized thresholds and describe the corresponding free boundary. An explicit form of the free boundary is presented. [ABSTRACT FROM AUTHOR]
- Subjects :
- *RANDOM walks
*MARTINGALES (Mathematics)
*GENERATING functions
Subjects
Details
- Language :
- English
- ISSN :
- 00051179
- Volume :
- 81
- Issue :
- 7
- Database :
- Academic Search Index
- Journal :
- Automation & Remote Control
- Publication Type :
- Academic Journal
- Accession number :
- 145301701
- Full Text :
- https://doi.org/10.1134/S0005117920070036