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Winning Rate in the Full-Information Best-Choice Problem

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Alexander V. Gnedin  and
Denis I. Miretskiy
Alexander V. Gnedin*
Affiliation:
Utrecht University
Denis I. Miretskiy*
Affiliation:
University of Twente
*
∗ Postal address: Department of Mathematics, Utrecht University, Postbus 80010, 3508 TA Utrecht, The Netherlands. Email address: gnedin@math.uu.nl
∗∗ Postal address: Department of Applied Mathematics, University of Twente, Postbus 217, 7500 AE Enschede, The Netherlands. Email address: d.miretskiy@math.utwente.nl
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Abstract

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Following a long-standing suggestion by Gilbert and Mosteller, we derive an explicit formula for the asymptotic winning rate in the full-information best-choice problem.

Keywords

Best-choice problemPoisson embedding

MSC classification

Primary: 60G40: Stopping times; optimal stopping problems; gambling theory
Secondary: 60G70: Extreme value theory; extremal processes
Type
Research Article
Information
Journal of Applied Probability , Volume 44 , Issue 2 , June 2007 , pp. 560 - 565
Copyright
Copyright © Applied Probability Trust 2007 

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