Oscillation criteria for stopping near the top of a random walk

DOI10.1007/S40590-024-00608-5arXiv1711.08857OpenAlexW4394880274MaRDI QIDQ6294331FDOQ6294331

Authors: José A. Islas 

Publication date: 23 November 2017

Abstract: Consider the problem of maximizing the probability of stopping with one of the two highest values in a Bernoulli random walk with arbitrary parameter $p$ and finite time horizon $n$. Allaart cite{Allaart} proved that the optimal strategy is determined by an interesting sequence of constants $p_n$. He conjectured the asymptotic behavior to be $1/2$. In this work the best lower bound for this sequence is found and more of its properties are proven towards solving the conjecture.

Full work available at URL: https://doi.org/10.1007/s40590-024-00608-5

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Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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