An Optimal Stopping Problem for Sums of Dichotomous Random Variables.
MASSACHUSETTS INST OF TECH CAMBRIDGE DEPT OF MATHEMATICS
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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.
- Statistics and Probability