Projects per year
Abstract
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward. In this analysis, we obtained asymptotic expressions for the expectation and variance of the optimal stopping time as the number of drawn variables became large. In the case of distributions with infinite upper bound, the asymptotic behaviour of these statistics depends solely on the algebraic power of the probability distribution decay rate in the upper limit. In the case of densities with finite upper bound, the asymptotic behaviour of these statistics depends on the algebraic form of the distribution near the finite upper bound. Explicit calculations are provided for several common probability density functions.
Original language  English 

Article number  194 
Pages (fromto)  118 
Number of pages  18 
Journal  Mathematics 
Volume  10 
Issue number  2 
DOIs  
Publication status  Published  2 Jan 2022 
Bibliographical note
Copyright the Author(s) 2022. Version archived for private and noncommercial use with the permission of the author/s and according to publisher conditions. For further rights please contact the publisher.Keywords
 sequential decision analysis
 optimal stopping
 secretary problems
 asymptotic approximations
Fingerprint
Dive into the research topics of 'On asymptotics of optimal stopping times'. Together they form a unique fingerprint.Projects
 1 Finished

A new asymptotic toolbox for nonlinear discrete systems and particle chains
4/02/19 → 30/09/22
Project: Other