The Last-Success Stopping Problem with Random Observation Times

arXiv2207.05156MaRDI QIDQ6404652FDOQ6404652

Zakaria Derbazi, Alexander Gnedin

Publication date: 11 July 2022

Abstract: Suppose $N$ independent Bernoulli trials are observed sequentially at random times of a mixed binomial process. The task is to maximise, by using a nonanticipating stopping strategy, the probability of stopping at the last success. We focus on the version of the problem where the $k^{e}xtth$ trial is a success with probability $p_k=heta/(heta+k-1)$ and the prior distribution of $N$ is negative binomial with shape parameter $u$. Exploring properties of the Gaussian hypergeometric function, we find that the myopic stopping strategy is optimal if and only if $ugeqheta$. We derive formulas to assess the winning probability and discuss limit forms of the problem for large $N$.

Mathematics Subject Classification ID

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

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