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

• Autorzy: Zdzisław Porosiński
• Języki publikacji: EN

Abstrakty

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.

PL

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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