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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2000 Volume 45, Issue 4, Pages 789–792 (Mi tvp512)

This article is cited in 2 papers

Short Communications

On a best choice problem for discounted sequences

R. Kühne, L. Rüschendorfa

a Institut für Mathematische Stochastik, University of Freiburg, Germany

Abstract: The optimal choice problem is considered for a discounted sequence of random variables in the domain of a $\max$-stable distribution. Asymptotically optimal stopping times and the asymptotic value of the stopping problem are determined. For the proof of these results the best choice problem forthe discounted sequence is related to a best choice problem in an associated Poisson process.

Keywords: best-choice problem, Poisson process, stopping problem, $\max$-stable .

Received: 12.01.1999

Language: English

DOI: 10.4213/tvp512


 English version:
Theory of Probability and its Applications, 2001, 45:4, 673–677

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