ON APPROXIMATIVE SOLUTIONS OF MULTISTOPPING PROBLEMS
Andreas Faller, Ludger Rüschendorf · 2011
We consider multistopping problems for discrete time sequences as well as for continuous time Poisson processes which serve as limiting models for the discrete time problem. The choice of m-stopping times is allowed and the aim is to maximize the expected value of the best of the m stops. The optimal m-stopping curves of the Poisson process are determined by differential equations of first order and allow the construction of approximative solutions of the discrete time m-stopping problem.