Robust best choice problem

Lazar Obradović ()
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Lazar Obradović: Bielefeld University

Mathematical Methods of Operations Research, 2020, vol. 92, issue 3, No 1, 435-460

Abstract: Abstract We consider a robust version of the full information best choice problem: there is model uncertainty, represented by a set of priors, about the measure driving the observed process. We propose a general construction of the set of priors that we use to solve the problem in the setting of Riedel (Econometrica 77(3):857–908, 2009). As in the classical case, it is optimal to stop if the current observation is a running maximum that exceeds certain decreasing thresholds. We characterize the history dependent minimizing measure and perform sensitivity analysis on two examples.

Keywords: Optimal stopping; Best choice problem; Secretary problem; Model uncertainty; Ambiguity aversion (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00186-020-00719-5

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