Stopping at the last renewal up to a terminal time

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Abstract

Given a renewal process {S n} n≥1 and a fixed terminal time T > 0, we want to find a strategy that maximizes the probability of stopping, without recall, at the last renewal up to T. We give a simple criterion to guarantee that the optimal strategy is of threshold type. This simple criterion is applied to several cases, including a problem of optimal stopping on patterns discussed in Bruss and Louchard (2003).

Original languageEnglish
Pages (from-to)725-733
Number of pages9
JournalStatistica Sinica
Volume17
Issue number2
Publication statusPublished - 2007 Apr 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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