A new strategy for Robbins' problem of optimal stopping

Martin Meier, Leopold Soegner

Research output: Contribution to journalArticle

Abstract

In this paper we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest nontrivial examples combining rank dependent rules with threshold rules. This rule attains an expected rank lower than the best upper bounds obtained in the literature so far, in particular, we obtain an expected rank of 2.326 14.

Original languageEnglish (US)
Pages (from-to)331-336
Number of pages6
JournalJournal of Applied Probability
Volume54
Issue number1
DOIs
StatePublished - Mar 1 2017

Fingerprint

Optimal Stopping
Stopping Rule
Siméon Denis Poisson
Strategy
Optimal stopping
Upper bound
Dependent

Keywords

  • Optimal stopping
  • Robbins' problem

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics(all)
  • Statistics, Probability and Uncertainty

Cite this

A new strategy for Robbins' problem of optimal stopping. / Meier, Martin; Soegner, Leopold.

In: Journal of Applied Probability, Vol. 54, No. 1, 01.03.2017, p. 331-336.

Research output: Contribution to journalArticle

Meier, Martin ; Soegner, Leopold. / A new strategy for Robbins' problem of optimal stopping. In: Journal of Applied Probability. 2017 ; Vol. 54, No. 1. pp. 331-336.
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