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Optimal stopping for extremal processes

Author

Listed:
  • Flatau, J.
  • Irle, A.

Abstract

For an extremal process (Zt)t the optimal stopping problem for Xt = f(Zt)-g(t) gives the continuous time analogue of the optimal stopping problem for max{Y1,...,Yk}-ck where Y1, Y2,... are i.i.d. For the continuous time problem we derive optimal stopping times in explicit form and also show that the optimal stopping boundary is the limit of the optimal stopping boundaries for suitably standardized discrete problems.

Suggested Citation

  • Flatau, J. & Irle, A., 1984. "Optimal stopping for extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 16(1), pages 99-111, January.
    • Handle: RePEc:eee:spapps:v:16:y:1984:i:1:p:99-111
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    Cited by:

    1. Gnedin, A.V.Alexander V., 2004. "Best choice from the planar Poisson process," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 317-354, June.
    2. Kühne, Robert & Rüschendorf, Ludger, 2000. "Approximation of optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 90(2), pages 301-325, December.

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