Two-choice optimal stopping

DOI10.1239/AAP/1103662960MaRDI QIDQ4664085zbMATH OpenOpenAlexFDO

Authors David Assaf, Larry Goldstein, Ester Samuel-Cahn

Publication date 5 April 2005

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

Full work available at URL https://arxiv.org/abs/math/0510242

zbMATH Keywords

domain of attractionprophet valuemultiple-choice stopping rule

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Abstract: Let $X_n,\mathrm{...},X_1$ be i.i.d. random variables with distribution function $F$. A statistician, knowing $F$, observes the $X$ values sequentially and is given two chances to choose $X$'s using stopping rules. The statistician's goal is to stop at a value of $X$ as small as possible. Let $V_n^2$ equal the expectation of the smaller of the two values chosen by the statistician when proceeding optimally. We obtain the asymptotic behavior of the sequence $V_n^2$ for a large class of $F$'s belonging to the domain of attraction (for the minimum) $calD(G^{a}lpha)$, where $$. The results are compared with those for the asymptotic behavior of the classical one choice value sequence $V_n^1$, as well as with the ``prophet value" sequence $V_n^p=E(min{X}_n,\mathrm{...},X_1)$.

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Extremes and related properties of random sequences and processes
• Limit theorems for threshold-stopped random variables with applications to optimal stopping
• Ratio prophet inequalities when the mortal has several choices
• Sample extremes: an elementary introduction
• Simple ratio prophet inequalities for a mortal with multiple choices
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(7)

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• Optimal Two-Choice Stopping on an Exponential Sequence
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• Continuity Properties of Optimal Multiple Stopping Value
• scientific article; zbMATH DE number 1959623 (Why is no real title available?)
• On approximative solutions of multistopping problems

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