A model of finite-step random walk with absorbent boundaries

DOI10.1080/00207160701543400zbMath1158.60012MaRDI QIDQ3543515

Jun-Hai Zhai, Xi-Zhao Wang, Su-Fang Zhang

Publication date: 4 December 2008

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160701543400

zbMATH Keywords

optimal choice; random walk; secretary problem; optimal stopping problem; absorbing boundaries

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60G50: Sums of independent random variables; random walks

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

65C40: Numerical analysis or methods applied to Markov chains

60G40: Stopping times; optimal stopping problems; gambling theory

Cites Work

• A rule of thumb (not only) for gamblers
• On random walks with jumps scaled by cumulative sums of random variables
• Optimal selection based on relative rank (the 'Secretary Problem')
• The Secretary Problem and Its Extensions: A Review
• Optimum Character of the Sequential Probability Ratio Test
• Unnamed Item