On the S_nn problem

DOI10.1017/JPR.2021.73MaRDI QIDQ5087009zbMATH OpenOpenAlexFDO

Authors

Publication date 8 July 2022

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

Full work available at URL https://arxiv.org/abs/1909.05762

zbMATH Keywords

Brownian motionlower boundoptimal stoppingupper boundChow-Robbins game

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: The Chow-Robbins game is a classical still partly unsolved stopping problem introduced by Chow and Robbins in 1965. You repeatedly toss a fair coin. After each toss, you decide if you take the fraction of heads up to now as a payoff, otherwise you continue. As a more general stopping problem this reads [V(n,x) = sup_{ au }operatorname{E} left [ frac{x + S_ au}{n+ au} ight]] where $S$ is a random walk. We give a tight upper bound for $V$ when $S$ has subgassian increments. We do this by usinf the analogous time continuous problem with a standard Brownian motion as the driving process. From this we derive an easy proof for the existence of optimal stopping times in the discrete case. For the Chow-Robbins game we as well give a tight lower bound and use these to calculate, on the integers, the complete continuation and the stopping set of the problem for $nleq10^5$.

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Cites work

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• Explicit Solutions to Some Problems of Optimal Stopping
• Note on the (non-)smoothness of discrete time value functions in optimal stopping
• On optimal stopping rules for \(s_ n /n\)
• Regarding stopping rules for Brownian motion and random walks
• Rigorous Computer Analysis of the Chow–Robbins Game

Cited in

(3)

• The optimal stopping problem for \(S_n/n\) and its ramifications
• An experimental mathematics perspective on the old, and still open, question of when to stop?
• scientific article; zbMATH DE number 3894191 (Why is no real title available?)

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Uses Software

• ChowRobbins

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