Prophet inequalities for cost of observation stopping problems

Martin Jones

Journal of Multivariate Analysis, 1990, vol. 34, issue 2, 238-253

Abstract: Comparisons are made between the expected gain of a prophet (an observer with complete foresight) and the maximal expected gain of a gambler (using only non-anticipating stopping times) observing a sequence of independent, uniformly bounded random variables where a non-negative fixed cost is charged for each observation. Sharp universal bounds are obtained under various restrictions on the cost and the length of the sequence. For example, it is shown for X1, X2, ... independent, [0, 1]-valued random variables that for all c >= 0 and all n >= 1 that E(max1

Keywords: optimal; stopping; prophet; inequalities; stochastic; processes; with; a; cost; of; observation (search for similar items in EconPapers)
Date: 1990
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