On approximative solutions of multistopping problems (Q655588)

This paper deals with multiple stopping problems for finite, discrete time, random sequences without independence or identical distributions assumption. \(m\)-stops are allowed and the aim is to maximize the expected value of the best of these \(m\) stops, i. e., the sequence of stopping times \(1\leq \tau_1^\star\leq\ldots\leq\tau_m^\star\leq n\) with respect to the natural filtration related to the observed sequence \(\{X_n\}_{i=1}^n\) such that \[ {\mathbf E}[\displaystyle{\max_{1\leq i\leq m}}X_{\tau_i^\star}]=\sup_{1\leq \tau_1\leq\ldots\leq\tau_m\leq n}{\mathbf E}[\max_{1\leq i\leq m}X_{\tau_i}]. \] The basic assumption is convergence of a related embedded point process to a continuous time Poisson process in the plane, which serves as a limiting model for the stopping problem. The optimal \(m\)-stopping curves for this limiting model are determined by differential equations of first order. A general approximation result is established which ensures convergence of the finite discrete time \(m\)-stopping problem to that in the limit model. This allows the construction of approximative solutions of the discrete time m-stopping problem. The case of i.i.d. sequences with discount and observation costs is discussed and explicit results are obtained in details. The related results for optimal stopping problem have been obtained by \textit{R. Kühne} and \textit{L. Rüschendorf} [Theory Probab. Appl. 48, No. 3, 465--480 (2003) and Teor. Veroyatn. Primen. 48, No. 3, 557--575 (2003; Zbl 1079.60043)] and the authors [Adv. Appl. Probab. 43, No. 4, 1086--1108 (2011; Zbl 1235.60038)].