search query: @indexterm Random walks / total: 34
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| Author: | Chun, Y. |
| Title: | Rank-based selection strategies for the random walk process |
| Journal: | European Journal of Operational Research
1997 : JAN 24, VOL. 96:2, p. 417-427 |
| Index terms: | STRATEGY OPERATIONAL RESEARCH RANDOM WALKS |
| Language: | eng |
| Abstract: | In many decision situations such as hiring a secretary, selling an asset, or seeking a job, the value of each offer, applicant or choice is assumed to be an independent identically distributed random variable. In this paper, the author considers a special case where the observations are auto-correlated as the random walk model for stock prices. For a given random walk process of n observation the author explicitly computes the probability that the j-th observation in the sequence is the maximum or minimum among all n observations. |
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