A continuous-time search model with job switch and jumps (Q1040683)

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scientific article; zbMATH DE number 5638448
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    A continuous-time search model with job switch and jumps
    scientific article; zbMATH DE number 5638448

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      A continuous-time search model with job switch and jumps (English)
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      25 November 2009
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      This article studies a generalization of the classical house-selling or job-search problem in optimal stopping theory [cf. \textit{Y. Chow, H. Robbins} and \textit{D. Siegmund}, Great expectations: The theory of optimal stopping. Boston etc.: Houghton Mifflin Company. (1971; Zbl 0233.60044)], \textit{J. MacQueen} and \textit{R. G. Miller jun.} [Oper. Res. 8, 362--380 (1960; Zbl 0096.12102)], \textit{E. J. Collins} and \textit{J. M. McNamara} [Adv. Appl. Probab. 25, No. 2, 314--333 (1993; Zbl 0772.62050)] in which the agent has a job currently and starts searching a new job. The state of current job is described by the diffusion process \(X\). The offers \(Y_1,Y_2,\dots\) are i.i.d. random variables arriving according to the Poisson process \(N\). The optimal decision rules as to both quitting the current job and taking a new job as well as explicit solutions and proofs of optimality are given. The model is extended also to a situation where the agent's current job satisfaction may be affected by sudden downward jumps which is a consequence of de-motivating events. For this extension an explicit solution is also found. The paper has wide range of references to the topic. The paper extends the results by \textit{W. Stadje} [J. Appl. Probab. 28, No.4, 771--778 (1991; Zbl 0749.90019)] and \textit{F. A.~Boshuizen} and \textit{J. M.~Gouweleeuw} [Commun. Stat., Stochastic Models 11, No.2, 349--369 (1995; Zbl 0827.60028)]. The another direction of the research in house selling and job search problems is presented by \textit{F. T.~Bruss} and \textit{T. S. Ferguson} [J. Appl. Probab. 34(4), 959--973 (1997; Zbl 0905.60028)].
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      optimal stopping
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      value function
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      Markov processes with continuous parameter
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      search problem
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      Poisson arrivals
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      jump diffusion
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      house-selling
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      job search
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