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Teoriya Veroyatnostei i ee Primeneniya, 2003, Volume 48, Issue 3, Pages 557–575
DOI: https://doi.org/10.4213/tvp270
(Mi tvp270)
 

This article is cited in 6 scientific papers (total in 6 papers)

Approximate optimal stopping of dependent sequences

R. Kühne, L. Rüschendorf

Albert Ludwigs University of Freiburg
References:
Abstract: We consider optimal stopping of sequences of random variables satisfying some asymptotic independence property. Assuming that the embedded planar point processes converge to a Poisson process, we introduce some further conditions to obtain approximation of the optimal stopping problem of the discrete time sequence by the optimal stopping of the limiting Poisson process. This limiting problem can be solved in several cases. We apply this method to obtain approximations for the stopping of moving average sequences, of hidden Markov chains, and of max-autoregressive sequences. We also briefly discuss extensions to the case of Poisson cluster processes in the limit.
Keywords: optimal stopping, Poisson processes, asymptotic independence, moving average processes, hidden Markov chains.
Received: 15.11.2000
Revised: 28.02.2003
English version:
Theory of Probability and its Applications, 2004, Volume 48, Issue 3, Pages 465–480
DOI: https://doi.org/10.1137/S0040585X97980567
Bibliographic databases:
Language: English
Citation: R. Kühne, L. Rüschendorf, “Approximate optimal stopping of dependent sequences”, Teor. Veroyatnost. i Primenen., 48:3 (2003), 557–575; Theory Probab. Appl., 48:3 (2004), 465–480
Citation in format AMSBIB
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\paper Approximate optimal stopping of dependent sequences
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\pages 557--575
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\transl
\jour Theory Probab. Appl.
\yr 2004
\vol 48
\issue 3
\pages 465--480
\crossref{https://doi.org/10.1137/S0040585X97980567}
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  • https://www.mathnet.ru/eng/tvp270
  • https://doi.org/10.4213/tvp270
  • https://www.mathnet.ru/eng/tvp/v48/i3/p557
  • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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