Maximizing the expected duration of owning a relatively best object in a Poisson process with rankable observations

Aiko Kurushima, Katsunori Ano

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Suppose that an unknown number of objects arrive sequentially according to a Poisson process with random intensity λ on some fixed time interval [0, T]. We assume a gamma prior density Gsλ(r. 1/a) for λ. Furthermore, we suppose that all arriving objects can be ranked uniquely among all preceding arrivals. Exactly one object can be selected. Our aim is to find a stopping time (selection time) which maximizes the time during which the selected object will stay relatively best. Our main result is the following. It is optimal to select the ith object that is relatively best and arrives at some time s (r) i onwards. The value of s (r) i can be obtained for each r and i as the unique root of a deterministic equation.

Original languageEnglish
Pages (from-to)402-414
Number of pages13
JournalJournal of Applied Probability
Volume46
Issue number2
DOIs
Publication statusPublished - 2009 Jun 1

Keywords

  • Duration problem
  • Optimal stopping problem
  • Poisson arrival
  • Secretary problem

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

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