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This article is cited in 39 scientific papers (total in 39 papers)
Short Communications
On an effective solution of the optimal
stopping problem for random walks
A. A. Novikova, A. N. Shiryaevb a University of Technology, Sydney
b Steklov Mathematical Institute, Russian Academy of Sciences
Abstract:
We find a solution of the optimal stopping problem for the case
when a reward function is an integer power 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
$\{0,1\ldots T\}$ converges with an exponential rate as
$T\to\infty$ to the limit under the assumption that jumps of the
random walk are exponentially bounded.
Keywords:
optimal stopping, random walk, rate of convergence, Appell polynomials.
Received: 01.07.2002
Citation:
A. A. Novikov, A. N. Shiryaev, “On an effective solution of the optimal
stopping problem for random walks”, Teor. Veroyatnost. i Primenen., 49:2 (2004), 373–382; Theory Probab. Appl., 49:2 (2005), 344–354
Linking options:
https://www.mathnet.ru/eng/tvp227https://doi.org/10.4213/tvp227 https://www.mathnet.ru/eng/tvp/v49/i2/p373
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