Transactions of KarRC RAS :: Scientific publications

А.А. Нестеренко, В.М. Хаметов.

Оптимальная остановка случайного блуждания с экспоненциальной функцией полезности

// Труды КарНЦ РАН. No 6. Сер. Математическое моделирование и информационные технологии. 2021. C. 49–58

A.A. Nesterenko, V.M. Khametov. Optimal stopping of random walk with exponential utility function // Transactions of Karelian Research Centre of Russian Academy of Science. No 6. Mathematical Modeling and Information Technologies. 2021. P. 49–58

Keywords: optimal stopping; optimal stopping rule; random walk; exponential utility function; finite horizon; infinite horizon

The article provides solutions for optimal stopping problems for finite and infinite horizons in the case of random walk with exponential utility function. For these problems we found: i) explicit solution of the corresponding Bellman equation; ii) solution of free boundary problem; iii) optimal stopping rule.

URL: http://journals.krc.karelia.ru/index.php/mathem/article/view/1295

DOI: 10.17076/mat1295

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