An elementary approach to optimal stopping problems for AR(1) sequences
Artikel i vetenskaplig tidskrift, 2011

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.

Optimal stopping

Threshold times

Exponential innovations

Autoregressive sequence

Författare

Sören Christensen

Chalmers, Matematiska vetenskaper, matematisk statistik

Göteborgs universitet

A. Irle

A. Novikov

Sequential Analysis

0747-4946 (ISSN)

Vol. 30 1 79-93

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1080/07474946.2011.539925

Mer information

Skapat

2017-10-07