Optimal stopping in a shock model

A. Rangan Department of Mathematics, Indian Institute of Technology, Madras, 600 036, India

G. Sarada Department of Mathematics, Indian Institute of Technology, Madras, 600 036, India

V. Arunachalam Department of Mathematics, Indian Institute of Technology, Madras, 600 036, India

Abstract

In this article we consider two optimal stopping problems in a general shock model associated with a correlated pair {X_n, Y_n} of renewal sequences, {X_n} and {Y_n} denoting respectively the time and magnitude of the n^th shock. A control limit policy is proved to be optimal based on the working age of the system

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Optimal stopping in a shock model

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Optimal stopping in a shock model

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