Optimal stopping rules for directionally reinforced processes-Reference-Cited by-同舟云学术

Optimal stopping rules for directionally reinforced processes

Published:2001-06 Issue:2 Volume:33 Page:483-504
ISSN:0001-8678
Container-title:Advances in Applied Probability
language:en
Short-container-title:Advances in Applied Probability

Author:

Allaart Pieter,Monticino Michael

Abstract

This paper analyzes optimal single and multiple stopping rules for a class of correlated random walks that provides an elementary model for processes exhibiting momentum or directional reinforcement behavior. Explicit descriptions of optimal stopping rules are given in several interesting special cases with and without transaction costs. Numerical examples are presented comparing optimal strategies to simpler buy and hold strategies.

Publisher

Cambridge University Press (CUP)

Subject

Applied Mathematics,Statistics and Probability

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