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Bounds for optimal stopping regions in problems with nonlinear costs of observations

 

作者: A. Irle,  

 

期刊: Sequential Analysis  （Taylor Available online 1991）
卷期: Volume 10, issue 1-2  

页码: 69-89

 

ISSN:0747-4946

 

年代: 1991

 

DOI:10.1080/07474949108836226

 

出版商: Marcel Dekker, Inc.

 

关键词: Brobrnian motion;curved stopping boundary;optimal stopping;nonlinear costs

 

数据来源: Taylor

 

摘要:

In problems of optimal stopping for F((W(t)+x)+) -c(s + t) with W(t) denoting Brownian motion, bounds for the optimal stopping regions are derived which describe the growth of the optimal boundaries. This generalizes results by lrle (1988) where the case f(x) = x was treated. Extensions are given when positive part is replaced by absolute value and also when a random walk takes the place of Brownian motion.

 

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