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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 91, 2019 - Issue 5
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Articles

A general method for finding the optimal threshold in discrete time

Sören ChristensenDepartment of Mathematics, Research Group Statistics and Stochastic Processes, Universität Hamburg, Hamburg, GermanyCorrespondence[email protected]
&
Albrecht IrleMathematisches Seminar, Christian-Albrechts-Universität, Kiel, Germany
Pages 728-753 | Received 27 Nov 2017, Accepted 25 Oct 2018, Published online: 07 Nov 2018

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Read on this site (2)

Sören Christensen & Tobias Sohr. (2022) General optimal stopping with linear cost. Sequential Analysis 41:1, pages 35-52.
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Hanne Cooreman, Lies Debruyne, Joke Vandenabeele & Fleur Marchand. (2021) Power to the facilitated agricultural dialogue: an analysis of on-farm demonstrations as transformative learning spaces. The Journal of Agricultural Education and Extension 27:5, pages 699-719.
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Articles from other publishers (3)

Yi-Shen Lin. (2024) A note on one-sided solutions for optimal stopping problems driven by Lévy processes. Statistics & Probability Letters 206, pages 109989.
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Pengzhan Chen & Yingda Song. (2023) A general approximation method for optimal stopping and random delay. Mathematical Finance.
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Sören Christensen & Albrecht Irle. (2020) The monotone case approach for the solution of certain multidimensional optimal stopping problems. Stochastic Processes and their Applications 130:4, pages 1972-1993.
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