A MULTISTAGE STOCHASTIC INVESTMENT PROCESS,

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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

Author(s):
Truelove, A. J.
Author Organization(s):
RAND CORP SANTA MONICA CALIF
Annotation:
Multistage stochastic investment process.
Pagination:
0035

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release

RECORD

Collection: TR
Identifying Numbers
Report Number(s):
RM4025PR
Contract/Grant Number(s):
AF49 638 700
 Subject Terms
Communities of Interest:
No COI(s) Identified
Descriptor(s):
(*PROBABILITY, OPTIMIZATION), GAME THEORY, STOCHASTIC PROCESSES, OPERATIONS RESEARCH
Keyword(s):
PAY OFF
Report Date:
1964 Mar 01