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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

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Pages 79-93 | Received 25 Jan 2010, Accepted 05 Nov 2010, Published online: 19 Jan 2011

REFERENCES

  • Alsmeyer , G. ( 1988 ). On the Variance of First Passage Times in the Exponential Case , In Transactions of the Tenth Prague Conference on Information Theory, Statistical Decision Functions, Random Processes , A: 183 – 192 , Dordrecht : Reidel .
  • Baurdoux , E. J. ( 2007 ). Examples of Optimal Stopping via Measure Transformation for Processes with One-Sided Jumps , Stochastics 79 : 183 – 192 .
  • Finster , M. ( 1982 ). Optimal Stopping on Autoregressive Schemes , Annals of Probability 10 : 745 – 753 .
  • Jacobsen , M. ( 2006 ). Exit Times for a Class of Autoregressive Sequences and Random Walks, Working Paper, Department of Applied Mathematics and Statistics University of Copenhagen, Copenhagen, Denmark.
  • Lerche , H. R. and Urusov , M. ( 2007 ). Optimal Stopping via Measure Transformation: The Beibel–Lerche Approach , Stochastics 79 : 275 – 291 .
  • Novikov , A. A. and Kordzakhia , N. ( 2008 ). Martingales and First Passage Times of AR(1) Processes , Stochastics 80 : 197 – 210 .
  • Novikov , A. A. and Shiryaev , A. N. ( 2007 ). On a Solution of the Optimal Stopping Problem for Processes with Independent Increments , Stochastics 79 : 393 – 406 .
  • Peskir , G. and Shiryaev , A. N. ( 2006 ). Optimal Stopping and Free-Boundary Problems , Basel : Birkhäuser .
  • Shiryaev , A. N. ( 1978 ). Optimal Stopping Rules , New York : Springer-Verlag .
  • Wald , A. and Wolfowitz , J. ( 1948 ). Optimum Character of the Sequential Probability Ratio Test , Annals of Mathematics Statistics 19 : 326 – 339 .
  • Recommended by T. N. Sriram

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