TY - JOUR

T1 - Dynamic optimality in optimal variance stopping problems

AU - Buonaguidi, Bruno

AU - Buonaguidi, B.

PY - 2018

Y1 - 2018

N2 - In an optimal variance stopping (O.V.S.) problem one seeks to determine the stopping time that maximizes the variance of an observed process. As originally shown by Pedersen (2011), the variance criterion leads to optimal stopping boundaries that depend explicitly on the initial point of the process. Then, following the lines of Pedersen and Peskir (2016), we introduce the concept of dynamic optimality for an O.V.S. problem, a type of optimality that disregards the starting point of the process. We examine when an O.V.S. problem admits a dynamically optimal stopping time and we illustrate our findings through several examples.

AB - In an optimal variance stopping (O.V.S.) problem one seeks to determine the stopping time that maximizes the variance of an observed process. As originally shown by Pedersen (2011), the variance criterion leads to optimal stopping boundaries that depend explicitly on the initial point of the process. Then, following the lines of Pedersen and Peskir (2016), we introduce the concept of dynamic optimality for an O.V.S. problem, a type of optimality that disregards the starting point of the process. We examine when an O.V.S. problem admits a dynamically optimal stopping time and we illustrate our findings through several examples.

KW - Dynamic and static optimality

KW - Markov processes

KW - Optimal variance stopping problems

KW - Statistics and Probability

KW - Statistics, Probability and Uncertainty

KW - Dynamic and static optimality

KW - Markov processes

KW - Optimal variance stopping problems

KW - Statistics and Probability

KW - Statistics, Probability and Uncertainty

UR - http://hdl.handle.net/10807/133215

UR - http://www.elsevier.com/locate/issn/01677152

U2 - 10.1016/j.spl.2018.05.030

DO - 10.1016/j.spl.2018.05.030

M3 - Article

VL - 141

SP - 103

EP - 108

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

SN - 0167-7152

ER -