On a Best Choice Problem for Discounted Sequences
Robert Kühne, Ludger Rüschendorf · Theory of Probability and Its Applications · 2001
The optimal choice problem is considered for a discounted sequence of random variables in the domain of a $\max$-stable distribution. Asymptotically optimal stopping times and the asymptotic value of the stopping problem are determined. For the proof of these results the best choice problem forthe discounted sequence is related to a best choice problem in an associated Poisson process.