Best choice from the planar Poisson process (Q2485763)

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Best choice from the planar Poisson process
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    Best choice from the planar Poisson process (English)
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    5 August 2005
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    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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    Optimal stopping
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    Best-choice problem
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    Records
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