Oscillation criteria for stopping near the top of a random walk

Autor:	Islas, José A.
Rok vydání:	2017
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	Consider the problem of maximizing the probability of stopping with one of the two highest values in a Bernoulli random walk with arbitrary parameter $p$ and finite time horizon $n$. Allaart \cite{Allaart} proved that the optimal strategy is determined by an interesting sequence of constants $\{p_{n}\}$. He conjectured the asymptotic behavior to be $1/2$. In this work the best lower bound for this sequence is found and more of its properties are proven towards solving the conjecture.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1711.08857 Zobrazit plný text záznamu View this record from Arxiv