Difference prophet inequalities for \([0,1]\)-valued i.i.d. random variables with cost for observations (Q1769515): Difference between revisions
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Latest revision as of 19:02, 7 June 2024
scientific article
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English | Difference prophet inequalities for \([0,1]\)-valued i.i.d. random variables with cost for observations |
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Difference prophet inequalities for \([0,1]\)-valued i.i.d. random variables with cost for observations (English)
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21 March 2005
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The subject of this article is inequalities in optimal stopping theory [cf. \textit{Y. S.~Chow, H.~Robbins} and \textit{D.~Siegmund}, ``Great expectations: The theory of optimal stopping'' (1971; Zbl 0233.60044)]. More specifically, a comparison of an optimal stopping value and the expected value of the maximum for some sequence of random variables which is called prophet inequalities. The case of independent \([0,1]\)-random variables has been considered by \textit{U.~Krengel} and \textit{L.~Sucheston} [in: Probability on Banach spaces. Adv. Probab. Relat. Top. 4, 197--266 (1978; Zbl 0394.60002); cf. also \textit{T. P.~Hill} and \textit{R. P.~Kertz} [in: Strategies for sequential search and selection in real time. Contemp. Math. 125, 191--207 (1992; Zbl 0794.60040)], and \textit{F. Harten, A.~Meyerthole} and \textit{N.~Schmitz} [``Prophetentheorie. Prophetenungleichungen, Prophetenregionen, Spiele gegen einen Propheten'' (1997; Zbl 0886.60033)]. In the present paper the investigation of the difference between the expected gains of the gambler and of the prophet in the case of \([0,1]\)-valued i.i.d. random variables, when there is an observation cost, is given [cf. \textit{M.~Jones}, J. Multivariate Anal. 34, No. 2, 238--253 (1990; Zbl 0753.60042)]. Improvements of the result by \textit{E.~Samuel-Cahn} [Ann. Probab. 20, No. 3, 1222--1228 (1992; Zbl 0777.60035)] are obtained.
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optimal stopping
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inequalities for stochastic processes
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prophet inequality
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Bernoulli variables
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balayage
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