A NOTE ON A CONTINUOUS-TIME SEARCH MODEL WITH SEVERAL OFFER STREAMS

Abstract

We consider a continuous-time search model with n random offer streams forming independent renewal processes. The distribution of the offer size may depend on the arrival time and the type of the offer, and there is a constant search cost per unit time. The searcher wants to select an offer such that the expected discounted reward is maximized. We present a method for computing such a strategy and apply it to some numerical examples. In the case of Poisson offer streams a more direct approach is also given.