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5931概率中等数值题medium

Discounted Offer Stopping

题目

Each period an offer arrives, iid Uniform(0,1). If you accept an offer of value x at period t, you receive beta^{t} * x, where beta = 0.9 is a per-period discount factor (so waiting shrinks the value of any future acceptance). No recall, infinite horizon. Find the optimal stationary acceptance threshold and the expected discounted payoff from the start.

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