Monotonicity of the optimal stopping region for the duration problem

From papers

Let Un(x)U_n(x) be the expected duration of owning the relatively best object whose rank remains within the two when the time to go is nn, conditional on accepting the relatively best applicant with value xx. Define

Gn(x)=Un(x)k=1n1xk1x1Unk(y)dy.G_n(x)=U_n(x)-\sum_{k=1}^{n-1}x^{k-1}\int_x^1U_{n-k}(y)\,dy.

The stopping region is B={(n,x):Gn(x)0}B=\{(n,x):G_n(x)\geq 0\}. Monotonicity conjecture. If Gn(x)0G_n(x)\geq 0, then Gn(y)0G_n(y)\geq 0 for every yxy\geq x; equivalently, the optimal stopping rule is a threshold rule in the observed maximum. This would establish optimality of the 1-SLA stopping rule for the full-information duration problem when stopping is restricted to relatively best objects. The analogous implication Gn(x)0Gnk(x)0G_n(x)\geq 0\Rightarrow G_{n-k}(x)\geq 0 is stated to have been proved, while this monotonicity assertion remains open.

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Primary source

Zdzisław Porosiński, Marek Skarupski and Krzysztof Szajowski, “Duration problem: basic concept and some extensions”, arXiv:1605.08364 (2016).

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