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arXiv · 2205.08495

A new method for computing asymptotic results in optimal stopping problems

L. Bayón·P. Fortuny·J. M. Grau·A. M. Oller-Marcén·M. M. Ruiz
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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secretary problem, including the classical one, that appear in the literature on the subject, as well as four other unpublished ones.

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L. Bayón, P. Fortuny, J. M. Grau, A. M. Oller-Marcén, M. M. Ruiz. 2022-05-17. A new method for computing asymptotic results in optimal stopping problems. https://arxiv.org/abs/2205.08495

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