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Advances in Applied Probability
Article . 2004 . Peer-reviewed
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Article . 2004
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https://dx.doi.org/10.48550/ar...
Article . 2005
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Two-choice optimal stopping

Authors: David Assaf; Larry Goldstein; Ester Samuel-Cahn;

Two-choice optimal stopping

Abstract

Let X n ,…, X 1 be independent, identically distributed (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 equal the expectation of the smaller of the two values chosen by the statistician when proceeding optimally. We obtain the asymptotic behaviour of the sequence for a large class of F s belonging to the domain of attraction (for the minimum) 𝒟( G α ), where G α ( x ) = [1 - exp(- x α )]1( x ≥ 0) (with 1(·) the indicator function). The results are compared with those for the asymptotic behaviour of the classical one-choice value sequence , as well as with the ‘prophet value’ sequence

Keywords

Stopping times; optimal stopping problems; gambling theory, Probability (math.PR), FOS: Mathematics, domain of attraction, Mathematics - Statistics Theory, Optimal stopping in statistics, prophet value, Statistics Theory (math.ST), multiple-choice stopping rule, Mathematics - Probability, 60G40

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
Green
bronze