Constrained maximum variance stopping for a finite horizon increasing random walk
Year of publication: |
2020
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Authors: | Fontem, Belleh |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 48.2020, 4, p. 493-499
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Subject: | Constrained variance maximization | Nonlinear optimal stopping | Optimal control | Random walk | Risk management | Random Walk | Suchtheorie | Search theory | Kontrolltheorie | Control theory | Risikomanagement | Mathematische Optimierung | Mathematical programming |
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