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Moments of Random Sums and Robbins' Problem of Optimal Stopping
Published online by Cambridge University Press: 14 July 2016
Abstract
Robbins' problem of optimal stopping is that of minimising the expected rank of an observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the value of the stopped variable under the rule that yields the minimal expected rank, by embedding the problem in a much more general context of selection problems with the nonanticipation constraint lifted, and with the payoff growing like a power function of the rank.
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- Copyright © Applied Probability Trust 2011
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