Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2014, Number 3, Pages 48–50 (Mi vmumm321)  
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Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum

A. L. Vorob'ev

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The paper presents a new class of functions dependent on skew-down random walk and its maximum such that the optimal moment in the optimal stopping problem for this function on a finite time interval is trivial and equal to the beginning of the interval.
Key words: skew random walk, optimal stopping, “buy-and-hold” rule.
Received: 01.03.2013
English version:
Moscow University Mathematics Bulletin, 2014, Volume 69, Issue 3, Pages 118–120
DOI: https://doi.org/10.3103/S002713221403005X
Bibliographic databases:
Document Type: Article
UDC: 519.216
Language: Russian
Citation: A. L. Vorob'ev, “Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2014, no. 3, 48–50; Moscow University Mathematics Bulletin, 69:3 (2014), 118–120
Citation in format AMSBIB
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\paper Degeneracy condition for the optimal moment in the optimal stop problem for a functional of a skewed down random walk and its maximum
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2014
\issue 3
\pages 48--50
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\transl
\jour Moscow University Mathematics Bulletin
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\vol 69
\issue 3
\pages 118--120
\crossref{https://doi.org/10.3103/S002713221403005X}
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