- Tytuł:
- A random walk version of Robbins problem: small horizon
- Autorzy:
-
Allaart, Pieter
Allen, Andrew - Powiązania:
- https://bibliotekanauki.pl/articles/953267.pdf
- Data publikacji:
- 2019
- Wydawca:
- Polskie Towarzystwo Matematyczne
- Tematy:
-
robbins' problem
stopping time
symmetric random walk
expected rank
proces ornsteina-uhlenbecka
floc
estymacja
rozkłas stabilny - Opis:
- In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected variable (among the sequence of all $n$ variables) is as small as possible. In this paper we consider an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, we describe the optimal stopping rules for the cases $n=2$ and $n=3$ in two versions of the problem: a ``full information" version in which the actual steps of the random walk are disclosed to the decision maker; and a ``partial information" version in which only the relative ranks of the positions taken by the random walk are observed. When $n=3$, the optimal rule and expected rank depend on the distribution of the step sizes. We give sharp bounds for the optimal expected rank in the partial information version, and fairly sharp bounds in the full information version.
- Źródło:
-
Mathematica Applicanda; 2019, 47, 2
1730-2668
2299-4009 - Pojawia się w:
- Mathematica Applicanda
- Dostawca treści:
- Biblioteka Nauki
Artykuł