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

Sören Christensen (Institutionen för matematiska vetenskaper, matematisk statistik) ; A. Irle ; A. Novikov
Sequential Analysis (0747-4946). Vol. 30 (2011), 1, p. 79-93.
[Artikel, refereegranskad vetenskaplig]

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.

Nyckelord: Autoregressive sequence , Exponential innovations , Optimal stopping , Threshold times



Denna post skapades 2015-07-02. Senast ändrad 2016-05-19.
CPL Pubid: 219244

 

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Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematisk statistik (2005-2016)

Ämnesområden

Matematisk statistik

Chalmers infrastruktur