An elementary approach to optimal atopping problems for AR(1) sequences

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dc.contributor.author Novikov, A
dc.contributor.author Christensen, S
dc.contributor.author Irle, A
dc.date.accessioned 2012-10-12T03:32:49Z
dc.date.issued 2011-01
dc.identifier.citation Sequential Analysis, 2011, 30 (1), pp. 79 - 93
dc.identifier.issn 0747-4946
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/17957
dc.description.abstract 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.
dc.publisher Taylor and Francis
dc.relation.isbasedon 10.1080/07474946.2011.539925
dc.title An elementary approach to optimal atopping problems for AR(1) sequences
dc.type Journal Article
dc.parent Sequential Analysis
dc.journal.volume 1
dc.journal.volume 30
dc.journal.number 1 en_US
dc.publocation US en_US
dc.identifier.startpage 79 en_US
dc.identifier.endpage 93 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 010406 Stochastic Analysis and Modelling
dc.personcode 991062
dc.percentage 100 en_US
dc.classification.name Stochastic Analysis and Modelling en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Autoregressive sequence
dc.description.keywords Autoregressive sequence
dc.description.keywords Exponential innovations
dc.description.keywords Exponential innovations
dc.description.keywords Optimal stopping
dc.description.keywords Optimal stopping
dc.description.keywords Threshold times.
dc.description.keywords Threshold times.
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)


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