TY - JOUR
T1 - A new strategy for Robbins’ problem of optimal stopping
AU - Sögner, Leopold
PY - 2017
Y1 - 2017
N2 - In this paper we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest nontrivial examples combining rank dependent rules with threshold rules. This rule attains an expected rank lower than the best upper bounds obtained in the literature so far, in particular, we obtain an expected rank of 2.326 14.
AB - In this paper we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest nontrivial examples combining rank dependent rules with threshold rules. This rule attains an expected rank lower than the best upper bounds obtained in the literature so far, in particular, we obtain an expected rank of 2.326 14.
UR - https://www.cambridge.org/core/services/aop-cambridge-core/content/view/S0021900216001030
U2 - 10.1017/jpr.2016.103
DO - 10.1017/jpr.2016.103
M3 - Journal article
SN - 0021-9002
VL - 54
SP - 331
EP - 336
JO - Journal of Applied Probability
JF - Journal of Applied Probability
ER -