Journal of Applied Probability
- J. Appl. Probab.
- Volume 48, Number 4 (2011), 1197-1199.
Moments of random sums and Robbins' problem of optimal stopping
Robbins' problem of optimal stopping is that of minimising the expected rank of an observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the value of the stopped variable under the rule that yields the minimal expected rank, by embedding the problem in a much more general context of selection problems with the nonanticipation constraint lifted, and with the payoff growing like a power function of the rank.
J. Appl. Probab., Volume 48, Number 4 (2011), 1197-1199.
First available in Project Euclid: 16 December 2011
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Gnedin, Alexander; Iksanov, Alexander. Moments of random sums and Robbins' problem of optimal stopping. J. Appl. Probab. 48 (2011), no. 4, 1197--1199. doi:10.1239/jap/1324046028. https://projecteuclid.org/euclid.jap/1324046028