Double optimal stopping in the fishing problem
Anna Karpowicz
Source: J. Appl. Probab.
Volume 46, Number 2
(2009), 415-428.
Abstract
In this paper we consider the following problem. An angler buys a
fishing ticket that allows him/her to fish for a fixed time. There
are two locations to fish at the lake. The fish are caught
according to a renewal process, which is different for each
fishing location. The angler's success is defined as the
difference between the utility function, which is dependent on the
size of the fish caught, and the time-dependent cost function.
These functions are different for each fishing location. The goal
of the angler is to find two optimal stopping times that maximize
his/her success: when to change fishing location and when to stop
fishing. Dynamic programming methods are used to find these two
optimal stopping times and to specify the expected success of the
angler at these times.
Primary Subjects: 60G40
Secondary Subjects: 60K15
Keywords: Fishing problem; optimal stopping; dynamic programming; semi-Markov process; infinitesimal generator
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1245676097
Digital Object Identifier: doi:10.1239/jap/1245676097
Zentralblatt MATH identifier:
05578816
Mathematical Reviews number (MathSciNet):
MR2535823
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