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Optimal Stopping Problem with Controlled Recall

Published online by Cambridge University Press:  27 July 2009

Tsuyoshi Saito
Tsuyoshi Saito
Affiliation:
Doctoral Program in Policy and Planning Sciences, University of Tsukuba, Tennodai 1-1-1, Tsukuba, Ibaraki 305, Japan
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Abstract

This paper deals with the following discrete-time optimal stopping problem. For fixed search costs, a random offer, w ~ F(w), will be found for each time. This offer is either accepted, rejected, or “reserved” for recall later. The reserving cost for any offer depends on its value, regardless of how long the offer is reserved. The objective is to maximize the expected discounted net profit, provided that an offer must be accepted. The major finding is that no previously reserved offer should be accepted prior to the deadline of the search process.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 12 , Issue 1 , January 1998 , pp. 91 - 108
Copyright
Copyright © Cambridge University Press 1998

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