An extension of the Last-Success-Problem

J.M. Grau Ribas

Statistics & Probability Letters, 2020, vol. 156, issue C

Abstract: There are n independent Bernoulli random variables Ik with parameters pk that are observed sequentially. We consider an extension of the last-success-problem with reward wk if the player predicts correctly at step k that Ik=1 is the last success. We establish the optimal strategy for a payoff-function generalizing the last-success 0−1 payoff by using the dynamical programming method. In particular we show that this method is intuitive and very efficient for general payoffs.

Keywords: Secretary problem; Last-Success-Problem; Odds-Theorem; Threshold strategy; Stopping problem (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108591

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