Optimal stopping rules for directionally reinforced processes
Optimal stopping rules for directionally reinforced processes
复制标题
定向强化过程的最佳停止规则
DOI：
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复制
发表时间：
2001
影响因子：
1.2
通讯作者：
M. Monticino
中科院分区：
文献类型：
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作者：
P. Allaart;M. Monticino
本文分析了一类相关随机游动的最优单次和多次停止规则，为表现出动量或定向强化行为的过程提供了一个基本模型。最优停止规则的显式描述给出了几个有趣的特殊情况下，有和没有交易费用。数值例子比较简单的购买和持有策略的最佳策略。
This paper analyzes optimal single and multiple stopping rules for a class of correlated random walks that provides an elementary model for processes exhibiting momentum or directional reinforcement behavior. Explicit descriptions of optimal stopping rules are given in several interesting special cases with and without transaction costs. Numerical examples are presented comparing optimal strategies to simpler buy and hold strategies.