On an Effective Solution of the Optimal Stopping Problem for Random Walks

We find a solution of the optimal stopping problem for the case when a reward function is an integer power function of a random walk on an infinite time interval. It is shown that an optimal stopping time is a first crossing time through a level defined as the largest root of Appell's polynomia...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Theory of probability and its applications 2005, Vol.49 (2), p.344-354
Hauptverfasser:	Novikov, A. A., Shiryaev, A. N.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied mathematics Polynomials Random variables
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!