Optimal stopping rule for the full-information duration problem with random horizon

DOI10.1017/APR.2015.6MaRDI QIDQ2806344zbMATH OpenOpenAlexFDO

Authors Mitsushi Tamaki

Publication date 17 May 2016

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aap/1457466155

zbMATH Keywords

optimal stoppingsecretary problembest-choice problemplanar Poisson processrandom horizonfull-information duration problemmonotone rule

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Recommendations

• Optimal stopping rule for the no-information duration problem with random horizon
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• scientific article; zbMATH DE number 1239843

Cites work

• scientific article; zbMATH DE number 67283 (Why is no real title available?)
• An Explicit Formula for the Optimal Gain in the Full-Information Problem of Owning a Relatively Best Object
• Best choice from the planar Poisson process
• On the full information best-choice problem
• On the optimal stopping problems with monotone thresholds
• Optimal Stopping With Random Horizon With Application to the Full-Information Best-Choice Problem With Random Freeze
• Optimal stopping rule for the no-information duration problem with random horizon
• The full-information best choice problem with a random number of observations
• Why do these quite different best-choice problems have the same solutions?

Cited in

(3)

• Duration problem: basic concept and some extensions
• On a duration problem with unbounded geometrical horizon
• Optimal stopping rule for the no-information duration problem with random horizon

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