Journal of Applied Probability
- J. Appl. Probab.
- Volume 49, Number 1 (2012), 22-39.
Phase-type distributions and optimal stopping for autoregressive processes
Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications, the overshoot and the threshold time are of special interest. When the upward innovations are in the class of phase-type distributions, we determine the joint distribution of these two quantities and apply this result to problems of optimal stopping. Using a principle of continuous fit, this leads to explicit solutions.
J. Appl. Probab., Volume 49, Number 1 (2012), 22-39.
First available in Project Euclid: 8 March 2012
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G99: None of the above, but in this section
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60] 62L15: Optimal stopping [See also 60G40, 91A60]
Christensen, Sören. Phase-type distributions and optimal stopping for autoregressive processes. J. Appl. Probab. 49 (2012), no. 1, 22--39. doi:10.1239/jap/1331216832. https://projecteuclid.org/euclid.jap/1331216832