2022
DOI: 10.48550/arxiv.2205.08495
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A new method for computing asymptotic results in optimal stopping problems

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… Show more

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