Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors

Obradović L (2018) Center for Mathematical Economics Working Papers; 580.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht| Englisch
 
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Autor/in
Obradović, Lazar
Abstract / Bemerkung
We consider a robust version of the full information best choice problem (Gilbert and Mosteller (1966)): there is ambiguity (represented by a set of priors) about the measure driving the observed process. We solve the problem under a very general class of multiple priors in the setting of Riedel (2009). As in the classical case, it is optimal to stop if the current observation is a running maximum that exceeds certain thresholds. We characterize the decreasing sequence of thresholds, as well as the (history dependent) minimizing measure. We introduce locally constant ambiguity neighborhood (LCAn) which has connections to coherent risk measures. Sensitivity analysis is performed using LCAn and exponential neighborhood from Riedel (2009).
Erscheinungsjahr
2018
Band
580
Seite(n)
39
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2916933

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Obradović L. Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors. Center for Mathematical Economics Working Papers. Vol 580. Bielefeld: Center for Mathematical Economics; 2018.
Obradović, L. (2018). Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors (Center for Mathematical Economics Working Papers, 580). Bielefeld: Center for Mathematical Economics.
Obradović, L. (2018). Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors. Center for Mathematical Economics Working Papers, 580, Bielefeld: Center for Mathematical Economics.
Obradović, L., 2018. Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors, Center for Mathematical Economics Working Papers, no.580, Bielefeld: Center for Mathematical Economics.
L. Obradović, Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors, Center for Mathematical Economics Working Papers, vol. 580, Bielefeld: Center for Mathematical Economics, 2018.
Obradović, L.: Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors. Center for Mathematical Economics Working Papers, 580. Center for Mathematical Economics, Bielefeld (2018).
Obradović, Lazar. Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors. Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 580.
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2019-09-06T09:18:56Z
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