Comparison of Threshold Stop Rules and Maximum for Independent Nonnegative Random Variables
Samuel-Cahn, Ester
Ann. Probab., Tome 12 (1984) no. 4, p. 1213-1216 / Harvested from Project Euclid
Let $X_i \geq 0$ be independent, $i = 1, \cdots, n$, and $X^\ast_n = \max(X_1, \cdots, X_n)$. Let $t(c) (s(c))$ be the threshold stopping rule for $X_1, \cdots, X_n$, defined by $t(c) = \text{smallest} i$ for which $X_i \geq c(s(c) = \text{smallest} i$ for which $X_i > c), = n$ otherwise. Let $m$ be a median of the distribution of $X^\ast_n$. It is shown that for every $n$ and $\underline{X}$ either $EX^\ast_n \leq 2EX_{t(m)}$ or $EX^\ast_n \leq 2EX_{s(m)}$. This improves previously known results, [1], [4]. Some results for i.i.d. $X_i$ are also included.
Publié le : 1984-11-14
Classification:  Stopping rules,  threshold rules,  prophet inequalities,  60G40
@article{1176993150,
     author = {Samuel-Cahn, Ester},
     title = {Comparison of Threshold Stop Rules and Maximum for Independent Nonnegative Random Variables},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 1213-1216},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993150}
}
Samuel-Cahn, Ester. Comparison of Threshold Stop Rules and Maximum for Independent Nonnegative Random Variables. Ann. Probab., Tome 12 (1984) no. 4, pp.  1213-1216. http://gdmltest.u-ga.fr/item/1176993150/