Hostname: page-component-cd9895bd7-gxg78 Total loading time: 0 Render date: 2024-12-27T13:53:29.414Z Has data issue: false hasContentIssue false
  • English
  • Français

An optimal sequential procedure for a buying-selling problem with independent observations

Part of: Applications Mathematical economics Sequential methods Stochastic processes

Published online by Cambridge University Press:  14 July 2016

G. Sofronov ,
Jonathan M. Keith  and
Dirk P. Kroese
G. Sofronov*
Affiliation:
The University of Queensland
Jonathan M. Keith*
Affiliation:
The University of Queensland
Dirk P. Kroese*
Affiliation:
The University of Queensland
*
∗Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
∗Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
∗Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.

Keywords

Optimal stoppingmultiple stopping rulevalue of a gamebuying-selling problem

MSC classification

Primary: 60G40: Stopping times; optimal stopping problems; gambling theory 62L15: Optimal stopping
Secondary: 62P20: Applications to economics 91B26: Market models (auctions, bargaining, bidding, selling, etc.)
Type
Research Papers
Information
Journal of Applied Probability , Volume 43 , Issue 2 , June 2006 , pp. 454 - 462
Copyright
© Applied Probability Trust 2006 

References

Chow, Y. S., Robbins, H. and Siegmund, D. (1971). Great Expectations: The Theory of Optimal Stopping. Houghton Mifflin, Boston, MA.Google Scholar
Haggstrom, G. W. (1966). Optimal stopping and experimental design. Ann. Math. Statist. 37, 7–29.CrossRefGoogle Scholar
Nikolaev, M. L. (1999). On optimal multiple stopping of Markov sequences. Theory Prob. Appl. 43, 298–306.CrossRefGoogle Scholar
Shiryaev, A. N. (1999). Essentials of Stochastic Finance: Facts, Models, Theory. World Scientific, Singapore.CrossRefGoogle Scholar