Related papers: On optimal ordering in the optimal stopping proble…
In this paper, we study the optimal stopping problem in the case where the reward is given by a family $(\phi(\tau ),\;\;\tau \in \stopo)$ of non negative random variables indexed by predictable stopping times. We treat the problem by means…
In our problem, we are given access to a number of sequences of nonnegative i.i.d. random variables, whose realizations are observed sequentially. All sequences are of the same finite length. The goal is to pick one element from each…
We consider the fundamental problem of selecting $k$ out of $n$ random variables in a way that the expected highest or second-highest value is maximized. This question captures several applications where we have uncertainty about the…
In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
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…
We develop a theory for solving continuous time optimal stopping problems for non-linear expectations. Our motivation is to consider problems in which the stopper uses risk measures to evaluate future rewards.
Motivated by recommendation problems in music streaming platforms, we propose a nonstationary stochastic bandit model in which the expected reward of an arm depends on the number of rounds that have passed since the arm was last pulled.…
We consider a matching problem, which is meaningful in team competitions, as well as in information theory, recommender systems, and assignment problems. In the competitions which we study, each competitor in a team order plays a match with…
In this paper, we introduce an over-time variant of the well-known prophet inequality with i.i.d. random variables. Instead of stopping with one realized value at some point in the process, we decide for each step how long we select the…
In the best choice problem with random arrivals, an unknown number $n$ of rankable items arrive at times sampled from the uniform distribution. As is well known, a real-time player can ensure stopping at the overall best item with…
Free order prophet inequalities bound the ratio between the expected value obtained by two parties each selecting a value from a set of independent random variables: a "prophet" who knows the value of each variable and may select the…
This paper considers a finite horizon optimal stopping problem for a sequence of independent and identically distributed random variables, where the objective is to design stopping rules that attempt to select the random variable with the…
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…
Prophet inequalities are a cornerstone in optimal stopping and online decision-making. Traditionally, they involve the sequential observation of $n$ non-negative independent random variables and face irrevocable accept-or-reject choices.…
Prophet inequality concerns a basic optimal stopping problem and states that simple threshold stopping policies -- i.e., accepting the first reward larger than a certain threshold -- can achieve tight $\frac{1}{2}$-approximation to the…
We analyze an optimal stopping problem with a series of inequality-type and equality-type expectation constraints in a general non-Markovian framework. We show that the optimal stopping problem with expectation constraints (OSEC) in an…
Sellers in online markets face the challenge of determining the right time to sell in view of uncertain future offers. Classical stopping theory assumes that sellers have full knowledge of the value distributions, and leverage this…