Difference prophet inequalities for [0,1]-valued i.i.d. random variables with cost for observations
| dc.creator | Kosters, Holger | |
| dc.date | 2005-03-25 | |
| dc.date.accessioned | 2026-07-07T05:18:28Z | |
| dc.date.available | 2026-07-07T05:18:28Z | |
| dc.description | Let X_1,X_2,... be a sequence of [0,1]-valued i.i.d. random variables, let c\geq 0 be a sampling cost for each observation and let Y_i=X_i-ic, i=1,2,.... For n=1,2,..., let M(Y_1,...,Y_n)=E(max_{1\leq i\leq n}Y_i) and V(Y_1,...,Y_n)=sup_{τ\in C^n}E(Y_τ), where C^n denotes the set of all stopping rules for Y_1,...,Y_n. Sharp upper bounds for the difference M(Y_1,...,Y_n)-V(Y_1,...,Y_n) are given under various restrictions on c and n. | |
| dc.description | Published at http://dx.doi.org/10.1214/009117904000000496 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0503589 | |
| dc.identifier | http://arxiv.org/abs/math/0503589 | |
| dc.identifier | Annals of Probability 2004, Vol. 32, No. 4, 3324-3332 | |
| dc.identifier | doi:10.1214/009117904000000496 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/74670 | |
| dc.subject | Probability | |
| dc.subject | 60G40 (Primary) 60E15. (Secondary) | |
| dc.title | Difference prophet inequalities for [0,1]-valued i.i.d. random variables with cost for observations | |
| dc.type | text |