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A random walk version of Robbins' problem: small horizon

Description: This article considers an analogous problem in which the observed random variables are the steps of a symmetric random walk. Assuming continuously distributed step sizes, it describes 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 … more
Date: November 17, 2018
Creator: Allaart, Pieter C. & Allen, Andrew
Item Type: Refine your search to only Article
Partner: UNT College of Science
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