Stopping a Sum During a Success Run
Ferguson, Thomas S.
Ann. Statist., Tome 4 (1976) no. 1, p. 252-264 / Harvested from Project Euclid
Let $\{Z_i\}$ be i.i.d., let $\{\varepsilon_i\}$ be i.i.d. Bernoulli, independent of $\{Z_i\}$, let $T_0 = z$ and $T_n = \varepsilon_n(T_{n-1} + Z_n)$ for $n \geqq 1$. Under a moment condition, optimal stopping rules are found for stopping $T_n - nc$ where $c > 0$ (the cost model), and for stopping $\beta^nT_n$ where $0 < \beta < 1$ (the discount model). Special cases are treated in detail. The cost model generalizes results of N. Starr, and the discount model generalizes results of Dubins and Teicher.
Publié le : 1976-03-14
Classification:  Optimal stopping rules,  cost model,  discount model,  principle of optimality,  62L15,  60G40
@article{1176343405,
     author = {Ferguson, Thomas S.},
     title = {Stopping a Sum During a Success Run},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 252-264},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343405}
}
Ferguson, Thomas S. Stopping a Sum During a Success Run. Ann. Statist., Tome 4 (1976) no. 1, pp.  252-264. http://gdmltest.u-ga.fr/item/1176343405/