A refined and asymptotic analysis of optimal stopping problems of Bruss and Weber

Abstract

The classical secretary problem has been generalized over the years into several directions. In this paper we confine our interest to those generalizations which have to do with the more general problem of stopping on a last observation of a specific kind. The Bruss-Weber problems we consider center around the following model: Let X1,X2, . . . ,Xn be a sequence of independent and identically distributed random variables which can take three values: {+1,−1, 0}. The goal is to maximize the probability of stopping on a value +1 or −1 appearing for the last time in the sequence. We study related problems both in discrete and continuous time settings, with known or unknown number of observations, and known and unknown probability measure. In particular, so called x-strategy with incomplete information is taken into consideration. Our contribution in the present paper is a refined analysis of several problems in this class and a study of the asymptotic behaviour of solutions. We also present simulations of the corresponding complete selection algorithms.

Authors and Affiliations

Guy Louchard

Keywords

Related Articles

Selected applications of differential equations in Vanilla Options valuation.

In financial models one of the basic assumptions about investors is that they want to gain as much as it is possible but they have aversion taking the risk. Each investing strategy can be considered as a compromise betwe...

Markov morphisms: a combined copula and mass transportation approach to multivariate quantiles

Our purpose is both conceptual and practical. On the one hand, we discuss the question which properties are basic ingredients of a general conceptual notion of a multivariate quantile. We propose and argue that the objec...

The Bruss-Robertson Inequality: Elaborations, Extensions, and Applications

The Bruss-Robertson inequality gives a bound on the maximal number of elements of a random sample whose sum is less than a specified value, and the extension of that inequality which is given here neither requires the in...

Application of fRMSDchiral for mathematical description of mutual position between stereoisomers

The ability of biological systems to recognize and distinguish between compounds is crucial for living systems. A detailed study of this mechanism seems to be an important supplement for analysis of possible contact inte...

Extremal particles in branching processess

The purpose of this study is to investigate two related spatial branchingmodels with the unbounded branching intensity. The objective is to describe theasymptotic behaviour of the extremal particle.

Download PDF file
  • EP ID EP420944
  • DOI 10.14708/ma.v45i2.4376
  • Views 94
  • Downloads 0

How To Cite

Guy Louchard (2017). A refined and asymptotic analysis of optimal stopping problems of Bruss and Weber. Mathematica Applicanda. Annales Societatis Mathematicae Polonae Series III ., 45(1), 95-118. https://europub.co.uk/articles/-A-420944