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Principle Seminar of the Department of Probability Theory, Moscow State University
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On the optimality of the rule "Buy-and-Hold" A. N. Shiryaev |
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Abstract: Let In the talk we present results of finding optimal stopping time (a time of selling the stock) in the problem $$ \sup_{\tau\in \mathcal{M}_T} E v(\frac{P_{\tau}}{M_T}),$$ where Also we consider a problem where |