Mathematics – Probability
Scientific paper
2011-12-30
Annals of Applied Probability 2011, Vol. 21, No. 5, 1965-1993
Mathematics
Probability
Published in at http://dx.doi.org/10.1214/10-AAP747 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst
Scientific paper
10.1214/10-AAP747
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-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.
Faller Andreas
Rüschendorf Ludger
No associations
LandOfFree
On approximative solutions of multistopping problems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with On approximative solutions of multistopping problems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On approximative solutions of multistopping problems will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-334992