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An optimal stopping problem with two levels of incomplete information

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  • Wolfgang Stadje

Abstract

The following variant of a classical selection problem is considered. Offers of random size are successively available to a decision-maker at discrete time instants, and he has to select one without having the possibility of recall. At any time he can accept or reject the current offer based on some initial information (just received) on its still unknown size, or he can demand additional information and take his decision thereafter. The costc 0 > 0 for continuing to the next offer and the costd 0 > 0 for obtaining the additional information are assumed to be constant. Under reasonable conditions on the underlying stochastic structure we find and characterize strategies maximizing the expected net reward. Copyright Physica-Verlag 1997

Suggested Citation

  • Wolfgang Stadje, 1997. "An optimal stopping problem with two levels of incomplete information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 119-131, February.
    • Handle: RePEc:spr:mathme:v:45:y:1997:i:1:p:119-131
    DOI: 10.1007/BF01194251
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    References listed on IDEAS

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    1. George J. Stigler, 1962. "Information in the Labor Market," NBER Chapters, in: Investment in Human Beings, pages 94-105, National Bureau of Economic Research, Inc.
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    6. Lippman, Steven A & McCall, John J, 1976. "The Economics of Job Search: A Survey," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 347-368, September.
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