Best choice from the planar Poisson process

DOI10.1016/J.SPA.2003.12.005MaRDI QIDQ2485763zbMATH OpenOpenAlexFDO

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0209050

Best-choice problem Optimal stopping Records

Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: Various best-choice problems related to the planar homogeneous Poisson process in finite or semi-infinite rectangle are studied. The analysis is largely based on properties of the one-dimensional box-area process associated with the sequence of records. We prove a series of distributional identities involving exponential and uniform random variables, and resolve the Petruccelli-Porosinski-Samuels paradox on coincidence of asymptotic values in certain discrete-time optimal stopping problems.

Review text

This paper deals with best-choice problems related to the homogeneous planar Poisson process (P.P.P. in short) in a rectangle \(R\). The problem is to maximize the probability of stopping at the highest point of P.P.P. and to evaluate the optimal probability under different informational situations of the observer. A point \(a\) of P.P.P. (say atom) is called a record, if there is no other atom in the left-upper section of \(a\), and its box-area means the area of right-upper section of \(a\). Studying the distribution of number of records and properties of box-area, the author introduces the box-area process which is a decreasing Markov chain with the distribution of sequence of box-areas. Since the highest atom turns out to be the last record, appealing to the box-area process, the author presents the following results: 1. Full information problem. Namely \(R=[0,t]\times[0,1]\) and stopping times are adapted to P.P.P. He obtains an optimal policy and the optimal probability. 2. Partial information problem. Namely \(R=[0,t]\times [\theta,\theta-1]\) with uniformly distributed random variable \(\theta\). Since a policy should not depend on \(\theta\), stopping times are admissible, if they are adapted to the difference of vertical positions between lowest atom and highest atom. With this framework, the author analyzes the optimal probability. Applying the results to random horizon and random vertical problems, he gives a resolution to the Petruccelli-Porosinski-Samuels paradox.

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