Abstract
We consider a buying–selling problem with the finite time horizon when several stops of a sequence of independent random variables can be made. The objective is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we obtain an optimal stopping rule and the value of a game.
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The author is grateful to the referees for their helpful remarks on the manuscript.
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Sofronov, G.Y. A multiple optimal stopping rule for a buying–selling problem with a deterministic trend. Stat Papers 57, 1107–1119 (2016). https://doi.org/10.1007/s00362-016-0776-5
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DOI: https://doi.org/10.1007/s00362-016-0776-5
Keywords
- Sequential decision analysis
- Optimal stopping
- Multiple stopping rules
- Value of a game
- Buying–selling problem