A version of the Elfving problem with random starting time

Anna Krasnosielska

An optimal stopping time problem with a Poisson process, discount function and random starting time is considered. Generalizations to a problem with random horizon and to a multi-person stopping game with priorities are presented.

Mots clés: Physical Sciences

Anna Krasnosielska. A version of the Elfving problem with random starting time. Statistics and Probability Letters, 2009, 79 (23), pp.2429. ⟨10.1016/j.spl.2009.08.017⟩. ⟨hal-00587296⟩