Accession Number:

ADA017013

Title:

An Optimal Stopping Problem for Sums of Dichotomous Random Variables.

Descriptive Note:

Technical rept.,

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE DEPT OF MATHEMATICS

Personal Author(s):

Report Date:

1975-10-30

Pagination or Media Count:

34.0

Abstract:

A stopping problem for sums of dichotomous random variables is defined. The optimal procedure is determined and the limiting behavior of this procedure is examined. This limiting behavior can be used to relate the solution of a class of continuous time stopping problems involving a Wiener process to the solution of certain discrete time, discrete process, stopping problems. These relations are useful in calculating numerical approximations to the solutions of various stopping problems.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE