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A note on bounds for the odds theorem of optimal stopping

par Bruss, F Thomas
Référence Annals of probability, 31, 4, page (1859-1861)
Publication Publié, 2003-10

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Résumé :

The odds theorem gives a unified answer to a class of stopping problems on sequences of independent indicator functions. The success probability of the optimal rule is known to be larger than Re-R, where R defined in the theorem satisfies R ≥ 1 in the more interesting case. The following findings strengthen this result by showing that 1/e is then a lower bound. Knowing that this is the best possible uniform lower bound motivates this addendum.