Cooperative Stopping Rules in Multivariate Problems
A sequence of random vectors \(Y(1), \ldots, Y(n)\) in \({\mathcal R}^d\) adapted to a filtration \({\mathcal F}\) with a known joint distribution and finite expectations is considered. For a given monotone function \(h: {\mathcal R}^d \to {\mathcal R}\) a randomized optimal stopping rule \(t^*\) such that \(\sup_t h(E[Y(t)]) = h(E[Y(t^*)])\) is obtained. In particular, it is shown that there exists a vector of constants \(a = (a_ 1, \ldots, a_d)\) such that the optimizing \(t^*\) is optimal for the one-dimensional optimal stopping problem, where the corresponding sequence of rewards is \(Z(1), \ldots, Z(d)\) with \(Z(j) = \sum_{i=1}^d a_i Y_i(j)\). The related symmetry assumptions turn the vector \(a\) to be \((1, \ldots, 1)\). (The general non-symmetric case can be treated similarly.) The results are extended also to the infinite-horizon case and are applied to obtain an explicit solution to the multivariate house-selling problem.
- Optimal cooperative stopping rules for maximization of the product of the expected stopped values
- Optimal multivariate stopping rules
- A multiple optimal stopping rule for sums of independent random variables
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- Optimal multivariate stopping rules
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- Optimal cooperative stopping rules for maximization of the product of the expected stopped values
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- Optimal multivariate stopping rules
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- House-hunting without second moments
- Optimal stopping problem with a vector-valued reward function
- A multiple optimal stopping rule for sums of independent random variables
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