A MULTISTAGE STOCHASTIC INVESTMENT PROCESS,

Abstract

This problem is formulated as a dynamic programming problem. For the problem as stated, there are two intimately related functions: the survival function, and the betting function. Approximations to these functions are obtained by setting up an N-stage game, with an arbitrary final pay-off function. The principal result shows that this procedure is valid, i.e., a survival function is obtained for the N-stage game that converges uniformly to the survival function for the 'infinite' game. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1964
Accession Number
AD0432296

Entities

People

  • A. J. Truelove

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Business Administration
  • Computer Programming
  • Computing-Related Activities
  • Dynamic Programming
  • Finance
  • Interdisciplinary Science
  • Investments
  • Mathematical Programming
  • Mathematics
  • Survival

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Game Theory.