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An Optimal Double Stopping Rule for a Buying-Selling Problem

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  • Georgy Yu. Sofronov

    (Macquarie University)

Abstract

We consider a buying-selling problem with a finite time horizon when two stops of a sequence of dependent observations can be made. The aim is to find an optimal sequential procedure which maximizes the total expected revenue. In this paper, we obtain an optimal double stopping rule and apply it for a geometric random walk and an autoregressive sequence.

Suggested Citation

  • Georgy Yu. Sofronov, 2020. "An Optimal Double Stopping Rule for a Buying-Selling Problem," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 1-12, March.
    • Handle: RePEc:spr:metcap:v:22:y:2020:i:1:d:10.1007_s11009-018-9684-6
    DOI: 10.1007/s11009-018-9684-6
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    References listed on IDEAS

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