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An Optimal k-Stopping Problem for the Poisson Process

In: Mathematical Statistics and Probability Theory

Author

Listed:
  • Wolfgang Stadje

    (Universität Osnabrück, Fachbereich Mathematik/Informatik)

Abstract

Offers for k commodities of the same kind arrive according to a Poisson process. It is assumed that these offers are i.i.d. random variables discounted by some deterministic function of time. Generalizing the well-known case k=1 an optimal strategy for the seller is found. His optimal k-stopping rule is studied in detail and explicitly computed in some examples.

Suggested Citation

  • Wolfgang Stadje, 1987. "An Optimal k-Stopping Problem for the Poisson Process," Springer Books, in: P. Bauer & F. Konecny & W. Wertz (ed.), Mathematical Statistics and Probability Theory, pages 231-244, Springer.
    • Handle: RePEc:spr:sprchp:978-94-009-3965-3_21
    DOI: 10.1007/978-94-009-3965-3_21
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