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A new continuous-time search model

Published online by Cambridge University Press:  14 July 2016

Wolfgang Stadje
Wolfgang Stadje*
Affiliation:
Universität Osnabrück
*
∗ Postal address: Fachbereich Mathematik/Informatik, Universität Osnabrück, Postfach 4469, D-W4500 Osnabrück, Germany.
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Abstract

We study a search model in which offers of random size are received randomly over time. The arrival times form a point process of a certain type, and the offer size distribution may depend on the corresponding arrival time. The search costs have a time-dependent cost rate. The objective is to stop the search process such that the expected discounted net reward (associated with the maximal offer received so far) is maximized. A stopping time σ is suggested, and conditions are specified under which σ turns out to be optimal.

Keywords

SEARCH MODEL WITH RANDOM OFFERSTIME-DEPENDENT OFFER SIZEOPTIMAL STOPPING
Type
Research Papers
Information
Journal of Applied Probability , Volume 28 , Issue 4 , December 1991 , pp. 771 - 778
Copyright
Copyright © Applied Probability Trust 1991 

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