Prophet inequalities and related problems of optimal stopping
نویسندگان
چکیده
منابع مشابه
A Survey of Prophet Inequalities in Optimal Stopping Theory
The Illain purpose of this paper is to provide a brief survey of what has CODle to be known as "prophet inequalities" or ~~prophet problerns" in the t heory of optirnal stopping. rrhis survpy includes surnrnaries of the basic results, subs e quent extensioIls and variations of these results, Blain proof tools an d techniques (with concrete exarllples), a,ad a list of open problenls. Although t...
متن کاملOptimal Stopping, Ruin Probabilities and Prophet Inequalities for L Evy Processes
Solution to the optimal stopping problem V (x) = sup E(x + X) + is given, where X = fXtg t0 is a L evy process, and the supremum is taken over the class of stopping times. Results are expressed in terms of the distribution of the random variable M = sup t Xt, under the hypothesis E(M) < +1, and simple conditions for this hypothesis to hold are given. Based on this, the prophet inequality V (x) ...
متن کاملExpectation Inequalities Associated with Prophet Problems
Applications of the original prophet inequalities of Krengel and Sucheston are made to problems of order selection, non-measurable stop rules, look-ahead stop rUles, and iterated maps of random variables. Also, proofs are given of two results of Hill and Hordijk c?ncerning optimal orderings of uniform and exponential d~stributions. §l. INTRODUCTION Universal inequalities comparing the two func
متن کاملOptimal Stopping Problems
In the last lecture, we have analyzed the behavior of TD(λ) for approximating the costtogo function in autonomous systems. Recall that much of the analysis was based on the idea of sampling states according to their stationary distribution. This was done either explicitly, as was assumed in approximate value iteration, or implicitly through the simulation or observation of system trajectories...
متن کاملPolymatroid Prophet Inequalities
Consider a gambler and a prophet who observe a sequence of independent, non-negative numbers. The gambler sees the numbers one-by-one whereas the prophet sees the entire sequence at once. The goal of both is to decide on fractions of each number they want to keep so as to maximize the weighted fractional sum of the numbers chosen. The classic result of Krengel and Sucheston (1977-78) asserts th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1987
ISSN: 0304-4149
DOI: 10.1016/0304-4149(87)90063-9