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Optimal Stopping Under Probability Distortions

Mathematics of Operations Research, 2017
In this paper we study optimal stopping problems with respect to distorted expectations with concave distortion functions. Our starting point is a seminal work of Xu and Zhou in 2013, who gave an explicit solution of such a stopping problem under a rather large class of distortion functionals. In this paper, we continue this line of research and prove
Belomestny, Denis, Krätschmer, Volker
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A Competitive Optimal Stopping Game

The B.E. Journal of Theoretical Economics, 2017
AbstractThis paper explores a multi-player game of optimal stopping over a finite time horizon. A player wins by retaining a higher value than her competitors do, from a series of independent draws. In our game, a cutoff strategy is optimal, we derive its form, and we show that there is a unique Bayesian Nash Equilibrium in symmetric cutoff strategies.
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Optimal Stopping Meets Combinatorial Optimization

2013
Optimal stopping theory considers the design of online algorithms for stopping a random sequence subject to an optimization criterion. For example, the famous secretary problem asks to identify a stopping rule that maximizes the probability of selecting the maximum element in a sequence presented in uniformly random order.
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Interpretable Optimal Stopping

Management Science, 2022
Dragos Florin Ciocan, Velibor V Mišić
exaly

Optimal Stopped Games

Theory of Probability & Its Applications, 1971
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Optimal Stopping

The American Mathematical Monthly, 1970
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Optimal Stopping Rules.