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On the full information best-choice problem

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Alexander V. Gnedin
Alexander V. Gnedin*
Affiliation:
Universität Göttingen
*
∗Postal address: Institut für Mathematische Stochastik, Universität Göttingen, Lotzestr. 13, D-37083 Göttingen, Germany.
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Abstract

We introduce the optimal stopping problem of an infinite sequence of records associated with a planar Poisson process. This problem serves as a limiting form of the classical full information best-choice problem. A link between the finite problem and its limiting form is established via embedding n i.i.d. observations into the planar process.

Keywords

BEST-CHOICE PROBLEMPOISSON PROCESSRECORDS

MSC classification

Primary: 60G40: Stopping times; optimal stopping problems; gambling theory
Secondary: 60G70: Extreme value theory; extremal processes
Type
Research Papers
Information
Journal of Applied Probability , Volume 33 , Issue 3 , September 1996 , pp. 678 - 687
Copyright
Copyright © Applied Probability Trust 1996 

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