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An optimal stopping problem on the finite-step simple random walk with absorbent boundaries.

Jun-Li FuWen-Xing HanBo Zhang
Published in: ICMLC (2011)
Keyphrases
  • random walk
  • optimal stopping
  • transition probability matrix
  • markov chain
  • finite horizon
  • transition probabilities
  • stationary distribution
  • brownian motion
  • markov random walk
  • higher order
  • finite number