Best choice from the planar Poisson process

A.V.Alexander V. Gnedin

Stochastic Processes and their Applications, 2004, vol. 111, issue 2, 317-354

Abstract: Various best-choice problems related to the planar homogeneous Poisson process in a finite or semi-infinite rectangle are studied. The analysis is largely based on the properties of the one-dimensional box-area process associated with the sequence of records. We prove a series of distributional identities involving exponential and uniform random variables, and give a resolution to the Petruccelli-Porosinski-Samuels paradox on the coincidence of asymptotic values in certain discrete-time optimal stopping problems.

Keywords: Optimal; stopping; Best-choice; problem; Planar; Poisson; process; Records (search for similar items in EconPapers)
Date: 2004
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