文献类型： 外文期刊

作者： Ke, T. Tony ¹ ; Tang, Wenpin ² ; Villas-Boas, J. Miguel ³ ; Zhang, Yuming Paul ⁴ ;

作者机构： 1.Chinese Univ Hong Kong, Sch Business, Shenzhen, Hong Kong, Peoples R China

2.Columbia Univ, Dept Ind Engn & Operat Res, New York, NY 10027 USA

3.Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

4.Univ Calif San Diego, Dept Math, San Diego, CA 92103 USA

关键词： Brownian motion; Diffusion processes; Free boundary problem; Optimal stopping; Search theory

期刊名称：APPLIED MATHEMATICS AND OPTIMIZATION （ 影响因子：2.194； 五年影响因子：2.255 ）

ISSN： 0095-4616

年卷期： 2022 年 85 卷 2 期

页码：

收录情况： SCI

摘要： We consider the problem of a decision-maker searching for information on multiple alternatives when information is learned on all alternatives simultaneously. The decision-maker has a running cost of searching for information, and has to decide when to stop searching for information and choose one alternative. The expected payoff of each alternative evolves as a diffusion process when information is being learned. After establishing the well-posedness of the equation, we show that the optimal boundary where search is stopped (free boundary) is star-shaped, and present an asymptotic characterization of the value function and the free boundary. We prove that the distance between the free boundary and each point on the diagonal is logarithmic in the number of alternatives.