A stopping rule for choosing the best of three coins

S. P. Lalley

Stochastic Processes and their Applications, 1985, vol. 19, issue 1, 161-171

Abstract: A recently proposed stopping rule for choosing the best of three coins is presented as the first exit time from a certain polygonal region by a two-dimensional random walk. A diffusion approximation to the expected value of this exit time is developed, using techniques of conformal mapping. An algebraic method for calculating the exact value of this expectation is also described.

Keywords: stopping; rule; random; walk; conformal; mapping; partial; difference; equation; boundary; value; problem (search for similar items in EconPapers)
Date: 1985
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