Accession Number:

AD0432296

Title:

A MULTISTAGE STOCHASTIC INVESTMENT PROCESS,

Descriptive Note:

Corporate Author:

RAND CORP SANTA MONICA CALIF

Personal Author(s):

Report Date:

1964-03-01

Pagination or Media Count:

35.0

Abstract:

This problem is formulated as a dynamic programming problem. For the problem as stated, there are two intimately related functions the survival function, and the betting function. Approximations to these functions are obtained by setting up an N-stage game, with an arbitrary final pay-off function. The principal result shows that this procedure is valid, i.e., a survival function is obtained for the N-stage game that converges uniformly to the survival function for the infinite game. Author

Subject Categories:

Distribution Statement:

APPROVED FOR PUBLIC RELEASE