Accession Number : AD0432296

Title :   A MULTISTAGE STOCHASTIC INVESTMENT PROCESS,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Truelove,A. J.

Report Date : MAR 1964

Pagination or Media Count : 35

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)

Descriptors :   (*PROBABILITY, OPTIMIZATION), GAME THEORY, STOCHASTIC PROCESSES, OPERATIONS RESEARCH

Distribution Statement : APPROVED FOR PUBLIC RELEASE