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An Optimal Threshold Strategy in the Two-Envelope Problem with Partial Information

Part of: Mathematical economics Stochastic processes

Published online by Cambridge University Press:  30 January 2018

Martin Egozcue  and
Luis Fuentes García
Martin Egozcue*
Affiliation:
Universidad de la República de Uruguay
Luis Fuentes García*
Affiliation:
Universidade da Coruña
*
∗ Postal address: Department of Economics, Facultad de Ciencias Sociales, Universidad de la República de Uruguay, Montevideo, 11600, Uruguay. Email address: egozcuemj@gmail.com
∗∗ Postal address: Departamento de Métodos Matemáticos y de Representacioón, Escuela Técnica Superior de Ingenieros de Caminos, Canales y Puertos, Universidade da Coruña, 15071 A Coruña, Spain.
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Abstract

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In this paper we propose a strategy that gives an optimal lower bound of the average gain for the two-envelope problem within the McDonnell and Abbott (2009) and McDonnell et al. (2011) framework. We obtain this result with partial information about the probability distribution of the envelope's contents.

Keywords

Two-envelope problemthreshold strategydecision theory

MSC classification

Primary: 91B06: Decision theory
Secondary: 60G40: Stopping times; optimal stopping problems; gambling theory
Type
Research Article
Information
Journal of Applied Probability , Volume 52 , Issue 1 , March 2015 , pp. 298 - 304
Copyright
© Applied Probability Trust 

References

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