A new method for computing asymptotic results in optimal stopping problems

DOI10.1007/S40840-022-01436-4MaRDI QIDQ2105922zbMATH OpenOpenAlexFDO

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)

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

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)

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secretary problem, including the classical one, that appear in the literature on the subject, as well as four other unpublished ones.

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Cited in

(1)

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

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Uses Software

• DLMF

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