On an effective solution of the optimal stopping problem for random walks

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dc.contributor.author Novikov, A
dc.contributor.author Shiryaev, AN
dc.date.accessioned 2009-12-21T02:28:01Z
dc.date.issued 2005-01
dc.identifier.citation Theory of Probability and its Applications, 2005, 49 (2), pp. 344 - 354
dc.identifier.issn 0040-585X
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3428
dc.description.abstract We find a solution of the optimal stopping problem for the case when a reward function is an integer 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 polynomial associated with the maximum of the random walk. It is also shown that a value function of the optimal stopping problem on the finite interval {0, 1, ? , T} converges with an exponential rate as T approaches infinity to the limit under the assumption that jumps of the random walk are exponentially bounded
dc.format Urmez Jesrani
dc.publisher Siam Publications
dc.relation.isbasedon 10.1137/S0040585X97981093
dc.title On an effective solution of the optimal stopping problem for random walks
dc.type Journal Article
dc.parent Theory of Probability and its Applications
dc.journal.volume 2
dc.journal.volume 49
dc.journal.number 2 en_US
dc.publocation USA en_US
dc.identifier.startpage 344 en_US
dc.identifier.endpage 354 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.description.keywords optimal stopping
dc.description.keywords optimal stopping
dc.description.keywords random walk
dc.description.keywords random walk
dc.description.keywords rate of convergence
dc.description.keywords rate of convergence
dc.description.keywords Appell polynomials
dc.description.keywords Appell polynomials
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 12:23:47.074767+10
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history General (ID: 2)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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