Related papers: The Duration of Optimal Stopping Problems
Inspired by recent work of P.-L. Lions on conditional optimal control, we introduce a problem of optimal stopping under bounded rationality: the objective is the expected payoff at the time of stopping, conditioned on another event. For…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
We study a version of the classical Cayley-Moser optimal stopping problem, in which a seller must sell an asset by a given deadline, with the offers, which are independent random variables with a known distribution, arriving at random…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
In this paper we introduce the hiring under uncertainty problem to model the questions faced by hiring committees in large enterprises and universities alike. Given a set of $n$ eligible candidates, the decision maker needs to choose the…
We consider a simple optimal probabilistic problem solving strategy that searches through potential solution candidates in a specific order. We are interested in what impact has interchanging the order of two solution candidates with…
A version of the secretary problem called the duration problem, in which the objective is to maximize the time of possession of relatively best objects or the second best, is treated. It is shown that in this duration problem there are…
In the "secretary problem", well-known in the theory of optimal stopping, an employer is about to interview a maximum of N secretaries about which she has no prior information. Chow et al. proved that with an optimal strategy the expected…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
The well-known secretary problem in sequential analysis and optimal stopping theory asks one to maximize the probability of finding the optimal candidate in a sequentially examined list under the constraint that accept/reject decisions are…
Given a sequence of independent random variables with a common continuous distribution, we consider the online decision problem where one seeks to minimize the expected value of the time that is needed to complete the selection of a…
Most clinical prediction studies are developed from retrospective cohorts and reported as if all patient information were observed at once. In practice, clinicians face a more consequential question: \emph{when is there already enough…
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does…
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…
This paper explores continuous-time and state-space optimal stopping problems from a reinforcement learning perspective. We begin by formulating the stopping problem using randomized stopping times, where the decision maker's control is…
We investigate the hiring problem where a sequence of applicants is sequentially interviewed, and a decision on whether to hire an applicant is immediately made based on the applicant's score. For the maximal and average improvement…
We consider a variant of the secretary problem in which the candidates state their expected salary at the interview, which we assume is in accordance with their qualifications. The goal is for the employer to hire the best or the worst…
The task of learning to pick a single preferred example out a finite set of examples, an "optimal choice problem", is a supervised machine learning problem with complex, structured input. Problems of optimal choice emerge often in various…
We model the joint distribution of choice probabilities and decision times in binary choice tasks as the solution to a problem of optimal sequential sampling, where the agent is uncertain of the utility of each action and pays a constant…