On approximative solutions of multistopping problems

DOI10.1214/10-AAP747zbMATH Open1251.60038arXiv1201.0083OpenAlexW3104853764MaRDI QIDQ655588FDOQ655588

Authors: Andreas Faller, Ludger Rüschendorf 

Publication date: 4 January 2012

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

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.

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

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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)

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Cited In (8)

• Optimal multiple stopping with sum-payoff
• On approximative solutions of optimal stopping problems
• 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
• Approximate Optimal Stopping of Dependent Sequences
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• Approximative solutions of optimal stopping and selection problems

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