On approximative solutions of multistopping problems

DOI10.1214/10-AAP747MaRDI QIDQ655588zbMATHOpenAlexFDO

Authors Andreas Faller, Ludger Rüschendorf

Publication date 4 January 2012

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.0083

zbMATH Keywords

extreme valuesPoisson processoptimal multiple stoppingoptimal stoppingbest choice problem

Mathematics Subject Classification ID

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

Abstract: In this paper, we consider multistopping problems for finite discrete time sequences $X_1,\mathrm{...},X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed to be independent not to be identically distributed. The basic assumption is convergence of a related imbedded 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. In detail, the case of i.i.d. sequences with discount and observation costs is discussed and explicit results are obtained.

Recommendations

• scientific article; zbMATH DE number 5597325
• Approximation of optimal stopping problems.
• Approximative solutions of optimal stopping and selection problems
• Optimal multiple stopping with sum-payoff
• scientific article; zbMATH DE number 1154408
• scientific article; zbMATH DE number 1865420
• Characterizations of optimal policies in a general stopping problem and stability estimating
• On Optimal Multiple Stopping of Markov Sequences

Cites work

• scientific article; zbMATH DE number 3126759 (Why is no real title available?)
• scientific article; zbMATH DE number 5597325 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 35574 (Why is no real title available?)
• scientific article; zbMATH DE number 67284 (Why is no real title available?)
• scientific article; zbMATH DE number 3550577 (Why is no real title available?)
• scientific article; zbMATH DE number 1959623 (Why is no real title available?)
• scientific article; zbMATH DE number 758012 (Why is no real title available?)
• scientific article; zbMATH DE number 3229274 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Approximate Optimal Stopping of Dependent Sequences
• Approximation of optimal stopping problems.
• Embedding optimal selection problems in a Poisson process
• Limit theorems for threshold-stopped random variables with applications to optimal stopping
• Maximizing expected value with two stage stopping rules
• Multiple buying or selling with vector offers
• On Optimal Multiple Stopping of Markov Sequences
• On a class of optimal stopping problems with mixed constraints
• On approximative solutions of optimal stopping problems
• On extreme-value theory in the presence of a trend
• On the full information best-choice problem
• Optimal Sequential Procedures when More Than one Stop is Required
• Optimal Two-Choice Stopping on an Exponential Sequence
• Optimal rules for the sequential selection of monotone subsequences of maximum expected length
• Optimal stopping with discount and observation costs
• Sequential selection of an increasing sequence from a multidimensional random sample.
• Some Problems in the Theory of Optimal Stopping Rules
• The asymptotic behavior of the reward sequence in the optimal stopping of i.i.d. random variables
• Two-choice optimal stopping

Cited in

(8)

• Finding minimum stopping and trapping sets: an integer linear programming approach
• The accessibility and multiple filtration structure for discrete time multiparameter optimal multiple stopping problems
• Optimal multiple stopping with sum-payoff
• Approximate Optimal Stopping of Dependent Sequences
• scientific article; zbMATH DE number 5597325 (Why is no real title available?)
• Multiple-stopping problems with random horizon
• On approximative solutions of optimal stopping problems
• Approximative solutions of optimal stopping and selection problems

This page was built for publication: On approximative solutions of multistopping problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q655588)