Approximation of optimal stopping problems

Abstract

We consider optimal stopping of independent sequences. Assuming that the corresponding imbedded planar point processes converge to a Poisson process we introduce some additional conditions which allow to approximate the optimal stopping problem of the discrete time sequence by the optimal stopping of the limiting Poisson process. The optimal stopping of the involved Poisson processes is reduced to a differential equation for the critical curve which can be solved in several examples. We apply this method to obtain approximations for the stopping of iid sequences in the domain of max-stable laws with observation costs and with discount factors.