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- Christensen, Sören,1982Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,Chalmers tekniska högskola,Chalmers University of Technology,University of Gothenburg (author)
An elementary approach to optimal stopping problems for AR(1) sequences
- Article/chapterEnglish2011
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- Informa UK Limited,2011
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- LIBRIS-ID:oai:gup.ub.gu.se/219244
- https://gup.ub.gu.se/publication/219244URI
- https://doi.org/10.1080/07474946.2011.539925DOI
- https://research.chalmers.se/publication/219244URI
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- Language:English
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- 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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- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- Autoregressive sequence
- Exponential innovations
- Optimal stopping
- Threshold times
- Optimal stopping
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- Irle, A. (author)
- Novikov, A. (author)
- Göteborgs universitetInstitutionen för matematiska vetenskaper, matematisk statistik (creator_code:org_t)
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- In:Sequential Analysis: Informa UK Limited30:1, s. 79-930747-49461532-4176
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