An optimal sequential procedure for a buying-selling problem with independent observations

Sofronov, G, Keith, JM and Kroese, DP (2006) An optimal sequential procedure for a buying-selling problem with independent observations. Journal of Applied Probability, 43 2: 454-462. doi:10.1239/jap/1152413734


Author Sofronov, G
Keith, JM
Kroese, DP
Title An optimal sequential procedure for a buying-selling problem with independent observations
Journal name Journal of Applied Probability   Check publisher's open access policy
ISSN 0021-9002
Publication date 2006
Sub-type Article (original research)
DOI 10.1239/jap/1152413734
Volume 43
Issue 2
Start page 454
End page 462
Total pages 9
Editor Heyde
CC
Place of publication Sheffield
Publisher Applied Probability Trust
Collection year 2006
Language eng
Subject C1
230200 Statistics
230201 Probability Theory
230202 Stochastic Analysis and Modelling
780101 Mathematical sciences
Abstract We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.
Keyword Optimal Stopping
Multiple Stopping Rule
Value Of A Game
Buying-selling Problem
Statistics & Probability
Q-Index Code C1

 
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Created: Wed, 15 Aug 2007, 08:25:09 EST