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- Christensen, Sören, 1982, et al.
(författare)
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An elementary approach to optimal stopping problems for AR(1) sequences
- 2011
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Ingår i: Sequential Analysis. - : Informa UK Limited. - 0747-4946 .- 1532-4176. ; 30:1, s. 79-93
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Tidskriftsartikel (refereegranskat)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.
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