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
点击下载:
PDF (259KB)
返 回