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Comparisons of Threshold Stopping Rule and Supremum Expectations for Independent Random Vectors

 

作者: Frans Boushuizen,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 1990)
卷期: Volume 8, issue 4  

页码: 389-396

 

ISSN:0736-2994

 

年代: 1990

 

DOI:10.1080/07362999008809215

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

A gambler who plays a sequence of games in n different rooms of a gamblehouse recieves as the expected reward the maximum of the optimal stopping values (according to so called threshold stopping rules) of the n sequences. In the case that the games in each room are represented as sequences of independent uniformly bounded random variables, this reward is compared with the expected gain of a ‘prophet’, i.e. the expected supremum of all games. The main theorems obtained here yield known results of Hill, Hill and Kennedy, and Samuel–Cahn as immediate corollaries

 

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