Optimal stopping of the maximum of an observed sequence over an order statistic of an unobserved sequence

• Autorzy: Zdzisław Porosiński
• Języki publikacji: EN

Abstrakty

PL

.

EN

In this paper an optimal stopping problem is considered. Only one of two sequences of random variables which are independent copies of a known continuously distributed random variable is observed. It is necessary to stop the observation at the moment in which at most k values of the unobserved sequence are greater than the observed maximum, with maximal probability. The optimal stopping rule for the finite length of the observation is obtained.

Słowa kluczowe

EN

Stopping times, optimal stopping problems, gambling theory; Optimal stopping

• Wydawca: Polish Mathematical Society
• Czasopismo: Mathematica Applicanda
• Rocznik: 1987
• Tom: 15
• Numer: 29

Daty

wydano

1987

online

2016-10-28

Twórcy

autor

Zdzisław Porosiński

Identyfikatory

DOI

10.14708/ma.v15i29.1690