Why is One Choice Different?

David Assaf and Ester Samuel-Cahn

Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem

Abstract: Let X_i be nonnegative independent random variables with finite expectations and X^*_n = max {X_1, ..., X_n}. The value EX^*_n is what can be obtained by a ``prophet". A ``mortal" on the other hand, may use k >= 1 stopping rules t_1, ..., t_k yielding a return E[max_{i=1, ..., k} X_{t_i}]. For n >= k the optimal return is V^n_k(X_1, ..., X_n) = sup E[max_{i=1, ..., k} X_t_i}] where the supremum is over all stopping rules which stop by time n. The well known ``prophet inequality" states that for all such X_i's and one choice EX^*_n

Keywords: optimal stopping rules; ratio prophet inequalities; multiple stopping options Classification-MSC-2000: 60G40; 60E15 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2003-09
References: Add references at CitEc
Citations:

Published in Journal of Statistical Planning and Inference, 2005, vol. 130, pp. 127-132.

Downloads: (external link)
http://ratio.huji.ac.il/sites/default/files/publications/dp335.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://ratio.huji.ac.il/sites/default/files/publications/dp335.pdf [302 Moved Temporarily]--> https://ratio.huji.ac.il/sites/default/files/publications/dp335.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:huj:dispap:dp335

Access Statistics for this paper

More papers in Discussion Paper Series from The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem Contact information at EDIRC.
Bibliographic data for series maintained by Michael Simkin ().