Prophet inequalities for optimal stopping rules with probabilistic recall
Assaf, David ; Samuel-Cahn, Ester
Bernoulli, Tome 8 (2002) no. 2, p. 39-52 / Harvested from Project Euclid
Let Xi, i = 1, ..., n, be independent random variables, and consider an optimal stopping problem where an observation not chosen in the past is still available i steps later with some probability pi, 1 ≥ p1 ≥ ... ≥ pn -1 ≥ 0. Only one object may be chosen. After formulating the general solution to this optimal stopping problem, we consider `prophet inequalities' for this situation. Let V\bf p (X1, ..., Xn) be the optimal value to the statistician. We show that for all non-trivial, non-negative Xi and all n ≥ 2, the `ratio prophet inequality' \rm E[ \max (X1, ..., Xn)] < (2 - pn -1 ) V\bf p (X1, ..., Xn) holds, and 2 - pn -1 is the `best constant'. This generalizes the classical prophet inequality with no recall, in which the best constant is 2. For any 0 ≤ Xi ≤ 1, the `difference prophet inequality' \rm E[\max (X1, ..., Xn)] - V\bf p (X1, ..., Xn) ≤ (1- pn-1) [ 1 - (1 - pn - 1)1/2 ]2 / p2n-1 holds. Prophet regions are also discussed.
Publié le : 2002-02-15
Classification:  backward solicitation,  optimal stopping,  probabilistic recall,  prophet inequalities, prophet region,  recall
@article{1078951088,
     author = {Assaf, David and Samuel-Cahn, Ester},
     title = {Prophet inequalities for optimal stopping rules with probabilistic recall},
     journal = {Bernoulli},
     volume = {8},
     number = {2},
     year = {2002},
     pages = { 39-52},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1078951088}
}
Assaf, David; Samuel-Cahn, Ester. Prophet inequalities for optimal stopping rules with probabilistic recall. Bernoulli, Tome 8 (2002) no. 2, pp.  39-52. http://gdmltest.u-ga.fr/item/1078951088/