SwePub
Sök i SwePub databas

  Extended search

Träfflista för sökning "id:"swepub:oai:gup.ub.gu.se/219244" "

Search: id:"swepub:oai:gup.ub.gu.se/219244"

  • Result 1-1 of 1
Sort/group result
   
EnumerationReferenceCoverFind
1.
  • Christensen, Sören, 1982, et al. (author)
  • An elementary approach to optimal stopping problems for AR(1) sequences
  • 2011
  • In: Sequential Analysis. - : Informa UK Limited. - 0747-4946 .- 1532-4176. ; 30:1, s. 79-93
  • Journal article (peer-reviewed)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.
  •  
Skapa referenser, mejla, bekava och länka
  • Result 1-1 of 1
Type of publication
journal article (1)
Type of content
peer-reviewed (1)
Author/Editor
Novikov, A. (1)
Christensen, Sören, ... (1)
Irle, A. (1)
University
University of Gothenburg (1)
Chalmers University of Technology (1)
Language
English (1)
Research subject (UKÄ/SCB)
Natural sciences (1)
Year
2011 (1)

Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.

 
pil uppåt Close

Copy and save the link in order to return to this view