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Sequential Analysis
Design Methods and Applications
Volume 30, 2011 - Issue 1
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Original Articles

An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences

Sören Christensen Mathematisches Seminar, Christian-Albrechts-Universität, Kiel, Germany
,
Albrecht Irle Mathematisches Seminar, Christian-Albrechts-Universität, Kiel, GermanyCorrespondence[email protected]
&
Alexander Novikov Department of Mathematical Sciences, University of Technology, Sydney, Australia
Pages 79-93 | Received 25 Jan 2010, Accepted 05 Nov 2010, Published online: 19 Jan 2011

Citations (12)

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Read on this site (5)

Sören Christensen & Albrecht Irle. (2019) A general method for finding the optimal threshold in discrete time. Stochastics 91:5, pages 728-753.
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Sören Christensen. (2017) An effective method for the explicit solution of sequential problems on the real line. Sequential Analysis 36:1, pages 2-18.
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T.N. Sriram & Ross Iaci. (2014) Authors' Response. Sequential Analysis 33:2, pages 194-204.
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Albrecht Irle. (2014) Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci. Sequential Analysis 33:2, pages 165-168.
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Sören Christensen. (2014) Discussion on “Sequential Estimation for Time Series Models” by T. N. Sriram and Ross Iaci. Sequential Analysis 33:2, pages 158-160.
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Articles from other publishers (7)

Pengzhan Chen & Yingda Song. (2022) Irreversible investment with random delay and partial prepayment. Operations Research Letters 50:5, pages 434-440.
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Masahiko Egami & Kazutoshi Yamazaki. (2016) On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. Advances in Applied Probability 46:1, pages 139-167.
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Shoou-Ren Hsiau, Yi-Shen Lin & Yi-Ching Yao. (2014) Logconcave reward functions and optimal stopping rules of threshold form. Electronic Journal of Probability 19:none.
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Sören Christensen, Paavo Salminen & Bao Quoc Ta. (2013) Optimal stopping of strong Markov processes. Stochastic Processes and their Applications 123:3, pages 1138-1159.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:1, pages 22-39.
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Sören Christensen. (2016) Phase-Type Distributions and Optimal Stopping for Autoregressive Processes. Journal of Applied Probability 49:01, pages 22-39.
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. (2016) Advances in Applied Probability Volume 30 (1998): Index: General Applied Probability . Advances in Applied Probability 30:4, pages 1157-1159.
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