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JOURNALS // Diskretnaya Matematika // Archive

Diskr. Mat., 2007 Volume 19, Issue 4, Pages 42–51 (Mi dm976)

This article is cited in 12 papers

A multiple optimal stopping rule for sums of independent random variables

M. L. Nikolaev, G. Yu. Sofronov


Abstract: We consider multiple optimal stopping rules for a finite (with horizon $N$) sequence of independent random variables. We are interested in finding a stopping rule which maximises the expected sum of $k$, $1<k<N$, observations. The optimal stopping rule and the value of the game are obtained. This result can be applied in the house-selling problem and in behavioural ecology problems.

UDC: 519.2

Received: 14.03.2007

DOI: 10.4213/dm976


 English version:
Discrete Mathematics and Applications, 2007, 17:5, 463–473

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