On optimal stopping with concave costs of observation
作者:
A. Irle,
期刊:
Sequential Analysis
(Taylor Available online 1987)
卷期:
Volume 6,
issue 1
页码: 1-19
ISSN:0747-4946
年代: 1987
DOI:10.1080/07474948708836113
出版商: Marcel Dekker, Inc.
关键词: stopping problem;space-time process;concave stopping boundaries
数据来源: Taylor
摘要:
For optimality results in sequential analysis which contain explicit description of optimal strategies the assumption of linear costs of observation ct has been of major importance. In this paper we leave this assumption and investigate the question how the shape of nonlinear costs of observation influences the shape of optimal stopping boundaries. We do this for an optimal stopping problem which arises in the derivation of locally most powerful sequential tests for the Wiener process. It is found that costs of observation of the formlead to optimal stopping boundaries which grow in the order ofas t → ∞
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