Prophet region for independent random variables with a discount factor (Q756263): Difference between revisions

A sequence \(X_ 1,X_ 2,...,X_ n\) of independent random variables is considered; to this sequence, a discount factor \(\beta\) is applied, so that the value of the problem is \(V(X_ 1,\beta X_ 2,...,\beta^{n- 1}X_ n)=\sup_{\tau}(E(\beta^{\tau -1}X_{\tau}),\) where the supremum is taken over all stopping times \(\tau\), and the prophet's reward is \(E(\max_{1\leq i\leq n}\beta^{i-1}X_ i).\) The following two prophet inequalities are proved: \[ E(\max_{1\leq i\leq n}\beta^{i- 1}X_ i)\leq 2V(X_ 1,\beta X_ 2,...,\beta^{n-1}X_ n), \] and \[ E(\max_{1\leq i\leq n}\beta^{i-1}X_ i)-V(X_ 1,\beta X_ 2,...,\beta^{n-1}X_ n)\leq \beta /4. \]