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An optimal sequential procedure for a buying-selling problem with independent observations

Part of:ApplicationsStochastic processesMathematical economicsSequential methods

Published online by Cambridge University Press:  14 July 2016

G. Sofronov,
Jonathan M. Keith and
Dirk P. Kroese
G. Sofronov*
Affiliation:
The University of Queensland
Jonathan M. Keith*
Affiliation:
The University of Queensland
Dirk P. Kroese*
Affiliation:
The University of Queensland
*
∗ Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
∗ Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
∗ Postal address: Department of Mathematics, The University of Queensland, Brisbane, QLD 4072, Australia.
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Abstract

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We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.

Keywords

Optimal stoppingmultiple stopping rulevalue of a gamebuying-selling problem

MSC classification

Primary:60G40: Stopping times; optimal stopping problems; gambling theory62L15: Optimal stopping
Secondary:62P20: Applications to economics91B26: Market models (auctions, bargaining, bidding, selling, etc.)

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 43 , Issue 2 , June 2006, pp. 454 - 462
Copyright
© Applied Probability Trust 2006 

References

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Shiryaev, A. N. (1999). Essentials of Stochastic Finance: Facts, Models, Theory. World Scientific, Singapore.CrossRefGoogle Scholar