Selection of order of observation in optimal stopping problems
- 1 March 1985
- journal article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 22 (1) , 177-184
- https://doi.org/10.2307/3213757
Abstract
In optimal stopping problems in which the player is free to choose the order of observation of the random variables as well as the stopping rule, it is shown that in general there is no function of all the moments of individual integrable random variables, nor any function of the first n moments of uniformly bounded random variables, which can determine the optimal ordering. On the other hand, several fairly general rules for identification of the optimal ordering based on individual distributions are given, and applications are made to several special classes of distributions.Keywords
This publication has 1 reference indexed in Scilit:
- Prophet inequalities and order selection in optimal stopping problemsProceedings of the American Mathematical Society, 1983