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Random priority two-person full-information best choice problem with imperfect observation. (English) Zbl 0997.60040

Summary: The following version of the two-player best choice problem is considered. Two players observe a sequence of i.i.d.random variables with a known continuous distribution. The random variables cannot be perfectly observed. Each time a random variable is sampled, the sampler is only informed whether it is greater than or less than some level specified by him. The aim of the players is to choose the best observation in the sequence (the maximal one). Each player can accept at most one realization of the process. If both want to accept the same observation, then a random assignment mechanism is used. The zero-sum game approach is adopted. The normal form of the game is derived. It is shown that in the fixed horizon case the game has a solution in pure strategies whereas in the random horizon case with a geometric number of observations one player has a pure strategy and the other one has a mixed strategy from two pure strategies. The asymptotic behaviour of the solution is also studied.

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory