Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping

Abstract

For linear-cost-adjusted and geometric-discounted infinite sequences of i.i.d. random variables, point process convergence results are proved as the cost or discounting effect diminishes. These process convergence results are combined with continuous-mapping principles to obtain results on joint convergence of suprema and threshold-stopped random variables, and last-exit times and locations. Applications are made to several classical optimal stopping problems in these settings.