Optimal Stopping Time for Geometric Random Walks with Power Payoff Function

2020 ◽  
Vol 81 (7) ◽  
pp. 1192-1210
Author(s):  
O.V. Zverev ◽  
V.M. Khametov ◽  
E.A. Shelemekh
Keyword(s):  
Random Walks ◽  
Optimal Stopping ◽  
Stopping Time ◽  
Payoff Function ◽  
Optimal Stopping Time

scholarly journals Combined Games with Randomly Delayed Beginnings

Mathematics ◽  
2021 ◽  
Vol 9 (5) ◽  
pp. 534
Author(s):  
F. Thomas Bruss
Keyword(s):  
Discrete Time ◽  
Real World ◽  
Optimal Stopping ◽  
Random Variables ◽  
Approximate Solutions ◽  
Real World Problems

This paper presents two-person games involving optimal stopping. As far as we are aware, the type of problems we study are new. We confine our interest to such games in discrete time. Two players are to chose, with randomised choice-priority, between two games G1 and G2. Each game consists of two parts with well-defined targets. Each part consists of a sequence of random variables which determines when the decisive part of the game will begin. In each game, the horizon is bounded, and if the two parts are not finished within the horizon, the game is lost by definition. Otherwise the decisive part begins, on which each player is entitled to apply their or her strategy to reach the second target. If only one player achieves the two targets, this player is the winner. If both win or both lose, the outcome is seen as “deuce”. We motivate the interest of such problems in the context of real-world problems. A few representative problems are solved in detail. The main objective of this article is to serve as a preliminary manual to guide through possible approaches and to discuss under which circumstances we can obtain solutions, or approximate solutions.

scholarly journals Risk sensitive optimal stopping

2021 ◽  
Vol 136 ◽  
pp. 125-144
Author(s):  
Damian Jelito ◽  
Marcin Pitera ◽  
Łukasz Stettner
Keyword(s):  
Optimal Stopping ◽  
Risk Sensitive

scholarly journals Optimal Stopping With Multiple Priors

Econometrica ◽  
2009 ◽  
Vol 77 (3) ◽  
pp. 857-908 ◽  
Keyword(s):  
Optimal Stopping ◽  
Multiple Priors
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