A new method for computing asymptotic results in optimal stopping problems

DOI10.1007/S40840-022-01436-4zbMATH Open1499.60127arXiv2205.08495OpenAlexW4311532802MaRDI QIDQ2105922FDOQ2105922

Authors: L. Bayón, M. M. Ruiz, Pedro Fortuny Ayuso, José María Grau, Antonio M. Oller Marcén 

Publication date: 8 December 2022

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Abstract: In this paper, we present a novel method for computing the asymptotic values of both the optimal threshold, and the probability of success in sequences of optimal stopping problems. This method, based on the resolution of a first-order linear differential equation, makes it possible to systematically obtain these values in many situations. As an example, we address nine variants of the well-known secretary problem, including the classical one, that appear in the literature on the subject, as well as four other unpublished ones.

Full work available at URL: https://arxiv.org/abs/2205.08495

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zbMATH Keywords

combinatorial optimizationoptimal stopping problemssecretary problemthreshold strategy

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cited In (1)

• Dokładna i asymptotyczna analiza rozwiązań optymalnych problemów zatrzymania Brussa i Webera

Uses Software

• Digital Library of Mathematical Functions

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