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An elementary appro...
An elementary approach to optimal stopping problems for AR(1) sequences
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- Christensen, Sören, 1982 (författare)
- Gothenburg 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
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Irle, A. (författare)
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Novikov, A. (författare)
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(creator_code:org_t)
- Informa UK Limited, 2011
- 2011
- Engelska.
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Ingår i: Sequential Analysis. - : Informa UK Limited. - 0747-4946 .- 1532-4176. ; 30:1, s. 79-93
- Relaterad länk:
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http://dx.doi.org/10...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Autoregressive sequence
- Exponential innovations
- Optimal stopping
- Threshold times
- Optimal stopping
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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