A Simple Derivation of a Complicated Prophet Region

Uwe Saint-Mont

Journal of Multivariate Analysis, 2002, vol. 80, issue 1, 67-72

Abstract: A straightforward proof of a result of R. P. Kertz (1986, J. Multivariate Anal.19, 88-112) is given, concerning the complete comparison of the values to a statistician, observing sequentially a sequence X1, ..., Xn of iid, [0, 1]-valued random variables, and the value to a prophet, observing that same sequence, and picking the largest observation to occur.

Keywords: optimal; stopping; prophet; regions; IID; problem (search for similar items in EconPapers)
Date: 2002
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