Transactions of KarRC RAS :: Scientific publications
Transactions of KarRC RAS :: Scientific publications

Transactions of KarRC RAS :: Scientific publications
Karelian Research Centre of RAS
ISSN (print): 1997-3217
ISSN (online): 2312-4504
Transactions of KarRC RAS :: Scientific publications
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Transactions of KarRC RAS :: Scientific publications

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SCIENTIFIC PUBLICATIONS
А.А. Нестеренко, В.М. Хаметов.
Оптимальная остановка случайного блуждания с экспоненциальной функцией полезности
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.
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  Last modified: July 8, 2021