Winning Rate in the Full-Information Best-Choice Problem

DOI10.1239/JAP/1183667422MaRDI QIDQ5443752zbMATH OpenOpenAlexFDO

Authors D. I. Miretskiy, Alexander Gnedin

Publication date 22 February 2008

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

Full work available at URL https://arxiv.org/abs/math/0510568

zbMATH Keywords

best-choice problemPoisson embedding

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Following a long-standing suggestion by Gilbert and Mosteller, we derive an explicit formula for the asymptotic winning rate in the full-information problem of the best choice.

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Cites work

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• Objectives in the Best-Choice Problems
• On a best choice problem with partial information
• On the full information best-choice problem
• Optimal Stopping With Random Horizon With Application to the Full-Information Best-Choice Problem With Random Freeze
• Recognising the last record of sequence
• Sharp inequalities for optimal stopping with rewards based on ranks
• The full-information best choice problem with a random number of observations
• Why do these quite different best-choice problems have the same solutions?

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