Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2015, Number 4, Pages 3–13 (Mi vmumm245)  
Mathematics

Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum

A. L. Vorob'ev

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: New classes of functionals are proposed for an optimal stopping problem for a functional of a symmetric random walk and its maximum. For one class the optimal moment in a finite time interval is the beginning of this interval and for another one this is its end. These classes generalize those known previously. A proof of the optimality of the indicated moments is based on combinatorial analysis of random walk trajectories.
Key words: symmetric random walk, optimal stopping, “Buy-and-hold” rule.
Received: 28.02.2014
English version:
Moscow University Mathematics Bulletin, 2015, Volume 70, Issue 4, Pages 149–159
DOI: https://doi.org/10.3103/S0027132215040014
Bibliographic databases:
Document Type: Article
UDC: 519.216
Language: Russian
Citation: A. L. Vorob'ev, “Degeneracy condition for the optimal moment in the optimal stopping problem for a new functional of a symmetric random walk and its maximum”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015, no. 4, 3–13; Moscow University Mathematics Bulletin, 70:4 (2015), 149–159
Citation in format AMSBIB
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