A new method for computing asymptotic results in optimal stopping problems
Probability
2022-05-18 v1 Classical Analysis and ODEs
Abstract
In this paper, we present a novel method for computing the asymptotic values of both the optimal threshold, and the probability of success in sequences of optimal stopping problems. This method, based on the resolution of a first-order linear differential equation, makes it possible to systematically obtain these values in many situations. As an example, we address nine variants of the well-known secretary problem, including the classical one, that appear in the literature on the subject, as well as four other unpublished ones.
Cite
@article{arxiv.2205.08495,
title = {A new method for computing asymptotic results in optimal stopping problems},
author = {L. Bayón and P. Fortuny and J. M. Grau and A. M. Oller-Marcén and M. M. Ruiz},
journal= {arXiv preprint arXiv:2205.08495},
year = {2022}
}