Dynamic optimality in optimal variance stopping problems

Bruno Buonaguidi, B. Buonaguidi

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)103-108
Number of pages6
JournalSTATISTICS & PROBABILITY LETTERS
Volume141
DOIs
Publication statusPublished - 2018

Keywords

  • Dynamic and static optimality
  • Markov processes
  • Optimal variance stopping problems
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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