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An optimal stopping problem for random walks with non-zero drift
Published online by Cambridge University Press: 14 July 2016
Abstract
In this paper we give a solution of an optimal stopping problem concerning random walks with non-zero drift, thereby proving the necessity of the existence of ESτ for Wald's equation ESτ = ES1 · Ετ to hold, even if attention is restricted to non-randomized stopping times τ. This answers a question of Robbins and Samuel (1966).
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- Copyright © Applied Probability Trust 1995
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