Reference request in optimal stopping












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I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required quantity at the minimum total cost.



Any pointers to the literature where this specific problem is discussed are appreciated.



I asked this question before on mathoverflow, but the question was closed:



https://mathoverflow.net/questions/316550/reference-request-in-optimal-stopping



I got the hint there that it may be related to optimal stopping problems, however I could not find this exact problem anywhere in the literatute yet.










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    0












    $begingroup$


    I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required quantity at the minimum total cost.



    Any pointers to the literature where this specific problem is discussed are appreciated.



    I asked this question before on mathoverflow, but the question was closed:



    https://mathoverflow.net/questions/316550/reference-request-in-optimal-stopping



    I got the hint there that it may be related to optimal stopping problems, however I could not find this exact problem anywhere in the literatute yet.










    share|cite|improve this question









    $endgroup$















      0












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      0


      1



      $begingroup$


      I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required quantity at the minimum total cost.



      Any pointers to the literature where this specific problem is discussed are appreciated.



      I asked this question before on mathoverflow, but the question was closed:



      https://mathoverflow.net/questions/316550/reference-request-in-optimal-stopping



      I got the hint there that it may be related to optimal stopping problems, however I could not find this exact problem anywhere in the literatute yet.










      share|cite|improve this question









      $endgroup$




      I am given the following task. Distributed over a trading day, I am supposed to buy a certain quantity of a good. The price of this good changes during the day. The goal is to buy the required quantity at the minimum total cost.



      Any pointers to the literature where this specific problem is discussed are appreciated.



      I asked this question before on mathoverflow, but the question was closed:



      https://mathoverflow.net/questions/316550/reference-request-in-optimal-stopping



      I got the hint there that it may be related to optimal stopping problems, however I could not find this exact problem anywhere in the literatute yet.







      optimization stochastic-processes finance stochastic-analysis time-series






      share|cite|improve this question













      share|cite|improve this question











      share|cite|improve this question




      share|cite|improve this question










      asked Dec 10 '18 at 22:27









      Bettina KrausBettina Kraus

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