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Principle Seminar of the Department of Probability Theory, Moscow State University
September 18, 2013 16:45, Moscow, MSU, auditorium 16-10
 

Предзащиты диссертаций


About optimal stopping of the functions of asymmetrical random walk and its maximum

A. Vorobiev

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The work considers optimal stopping problems for the functions of the asymmetrical random walk and its maximum which under certain conditions can be interpreted as a search of the optimal moment for buying or selling stocks in the Cox-Ross-Rubinstein model. There found new conditions when an optimal moment corresponds to the “Buy-and-hold” strategy.

Supplementary materials: vorobiev_about_optimal_stopping_of_the_functions_of_asymmetrical_random_walk_and_its_maximum.pdf (233.0 Kb)
 
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