Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates (Q1825517)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 4121140
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates |
scientific article; zbMATH DE number 4121140 |
Statements
Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates (English)
0 references
1989
0 references
Let \(X_ 1,X_ 2,..\). be i.i.d. mean zero random variables. Put \(S_ k=X_ 1+...+X_ k\). It is proved that for any \(n\geq 1\) \[ E(\max_{1\leq k\leq n\quad}S^+_ k)\leq (2-n^{-1})E S\quad^+_ n. \] This result is nearly sharp.
0 references
optimal stopping
0 references
prophet inequality
0 references
0.8403465151786804
0 references
0.8317437171936035
0 references
0.8302216529846191
0 references
0.8277990221977234
0 references
0.8219317197799683
0 references
