Moments of Random Sums and Robbins' Problem of Optimal Stopping

DOI10.1239/JAP/1324046028MaRDI QIDQ3108485zbMATH OpenOpenAlexFDO

Authors Alexander Gnedin, Alexander Iksanov

Publication date 4 January 2012

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.3315

zbMATH Keywords

best-choice problemfull-history dependenceinsensitivityplanar Poisson processessecretary problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Optimal stopping in statistics (62L15)

Abstract: Robbins' problem of optimal stopping asks one to minimise the expected {it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {it value} of the stopped variable under the rule optimal in the sense of the rank, by embedding the problem in a much more general context of selection problems with the nonanticipation constraint lifted, and with the payoff growing like a power function of the rank.

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