Pareto Optimality in a Bicriterion Optimal Stopping Problem

Abstract

This article concerns a characterization of a vector-valued optimal stopping problem with only two reward functions. Under certain conditions, we give an explicit characterization of the Pareto stopping times for the present problem via a scalar-valued double optimal stopping problem. The latter problem is a natural extension of the classical McDonald-Siegel optimal stopping problem with one stopping rule.

Keywords:

• Double optimal stopping problem
• Vector-valued optimal stopping problem

Subject Classifications:

• 58E17
• 60G40
• 62L15

ACKNOWLEDGMENT

It is a pleasure to thank an Associate Editor who handled the present article.

Notes

Recommended by Nitis Mukhopadhyay