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

George Sofronov; Jonathan Keith; Dirk Kroese

doi:10.1239/jap/1152413734

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

George Sofronov, Jonathan Keith, Dirk Kroese

Research output: Contribution to journal › Article › Research › peer-review

11 Citations (Scopus)

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

Original language	English
Pages (from-to)	454 - 462
Number of pages	9
Journal	Journal of Applied Probability
Volume	43
Issue number	2
DOIs	https://doi.org/10.1239/jap/1152413734
Publication status	Published - 2006
Externally published	Yes

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JF - Journal of Applied Probability

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

Abstract

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