The Library
Optimal stopping and the sufficiency of randomised threshold strategies
Tools
Hobson, David G., Henderson, Vicky and Zeng, Matthew (2018) Optimal stopping and the sufficiency of randomised threshold strategies. Electronic Communications in Probability, 23 (30). pp. 1-11. doi:10.1214/18-ECP125 ISSN 1083-589X.
|
PDF
WRAP-optimal-stopping-sufficiency-randomized-strategies-Henderson-2018.pdf - Published Version - Requires a PDF viewer. Download (674Kb) | Preview |
|
PDF
Optical-stopping-and-sufficiency-reandomized-Hobson-2018.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (319Kb) |
Official URL: http://dx.doi.org/10.1214/18-ECP125
Abstract
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which the value associated to a stopping rule depends on the law of the stopped process. If this value is quasi-convex on the space of attainable laws then it is well known that it is sufficient to restrict attention to the class of threshold strategies. However, if the objective function is not quasi-convex, this may not be the case. We show that, nonetheless, it is suffcient to restrict attention to mixtures of threshold strategies.
Item Type: | Journal Article | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | |||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||
Library of Congress Subject Headings (LCSH): | Optimal stopping (Mathematical statistics) | |||||||||
Journal or Publication Title: | Electronic Communications in Probability | |||||||||
Publisher: | Institute of Mathematical Statistics | |||||||||
ISSN: | 1083-589X | |||||||||
Official Date: | 3 May 2018 | |||||||||
Dates: |
|
|||||||||
Volume: | 23 | |||||||||
Number: | 30 | |||||||||
Page Range: | pp. 1-11 | |||||||||
DOI: | 10.1214/18-ECP125 | |||||||||
Status: | Peer Reviewed | |||||||||
Publication Status: | Published | |||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||
Date of first compliant deposit: | 30 April 2018 | |||||||||
Date of first compliant Open Access: | 3 October 2018 | |||||||||
RIOXX Funder/Project Grant: |
|
|||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year