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A note on bounds for the odds theorem of optimal stopping. (English) Zbl 1059.60056

The odds theorem gives a unified answer to a class of stopping problems on sequences of independent indicator functions. It can be applied to natural stopping problems such as, for example, the secretary problem, the group-interview problem, the last-peak problem, but also to many other simple problems of games, betting or investment. The success probability of the optimal rule is known to be larger than \(R e^{-R}\), where \(R\) defined in the theorem satisfies \(R \geq 1\) in the more interesting case. This result is strenghened by showing that \(1/e\) is then a lower bound. This best possible uniform lower bound extends to the general setting of the odds theorem.

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory

References:

[1] Bruss, F. T. (2000). Sum the odds to one and stop. Ann. Probab. 28 1384–1391. · Zbl 1005.60055 · doi:10.1214/aop/1019160340
[2] Hill, T. P. and Krengel, U. (1992). A prophet inequality related to the secretary problem. In Contemporary Mathematics (F. T. Bruss, T. S. Ferguson and S. M. Samuels, eds.) 209–215. Amer. Math. Soc., Providence, RI. · Zbl 0760.60046
[3] Hsiau, S. R. and Yang, J. R. (2000). A natural variation of the standard secretary problem. Statist. Sinica 10 639–646. · Zbl 0963.62076
[4] Samuels, S. M. (1992). Secretary problems as a source of benchmark bounds. Stochastic Inequalities 371–387. IMS, Hayward, CA. · Zbl 1400.60057
[5] Tamaki, M. (2001). Optimal stopping on trajectories and the ballot problem. J. Appl. Probab. 38 946–959. · Zbl 1002.60035 · doi:10.1239/jap/1011994184
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