A stochastic game of optimal stopping and order selection

DOI10.1214/AOAP/1177004842MaRDI QIDQ1894633zbMATH OpenOpenAlexFDO

Authors Ulrich Krengel, Alexander Gnedin

Publication date 10 August 1995

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

Full work available at URL https://doi.org/10.1214/aoap/1177004842

zbMATH Keywords

Bernoulli pyramidbest choice problemexchangeable distributionsminimax strategynonanticipating stopping rulesrelative ranksstochastic two person zero-sum gametraveller's process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

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Cited in

(8)

• Nash equilibria in a class of Markov stopping games with total reward criterion
• The best choice problem with random arrivals: how to beat the \(1 / e\)-strategy
• The secretary problem with biased arrival order via a Mallows distribution
• Optimal selection problems based on exchangeable trials
• Running minimum in the best-choice problem
• Coherent random permutations with biased record statistics
• Strategic disclosure of random variables
• The secretary problem with non-uniform arrivals via a left-to-right minimum exponentially tilted distribution

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