The Annals of Probability

A Difference Prophet Inequality for Bounded I.I.D. Variables, with Cost for Observations

Ester Samuel-Cahn

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Abstract

Let $X_i$ be i.i.d. random variables, $0 \leq X_i \leq 1$ and $c \geq 0$, and let $Y_i = X_i - ic$. It is shown that for all $n$, all $c$ and all such $X_i, E(\max_{i \geq 1} Y_i) - \sup_t EY_t < e^{-1}$, where $t$ is a stopping rule and $e^{-1}$ is shown to be the best bound for which the inequality holds. Specific bounds are also obtained for fixed $n$ or fixed $c$. These results are very similar to those obtained by Jones for a similar problem, where $0 \leq X_i \leq 1$ are independent but not necessarily identically distributed. All results are valid and unchanged also when $Y_i$ is replaced by $Y^\ast_i = \max_{1 \leq j \leq i} X_j - ic$.

Article information

Source
Ann. Probab., Volume 20, Number 3 (1992), 1222-1228.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176989689

Digital Object Identifier
doi:10.1214/aop/1176989689

Mathematical Reviews number (MathSciNet)
MR1175260

Zentralblatt MATH identifier
0777.60035

JSTOR
links.jstor.org

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 60E15: Inequalities; stochastic orderings

Keywords
Prophet inequality optimal stopping cost of observation

Citation

Samuel-Cahn, Ester. A Difference Prophet Inequality for Bounded I.I.D. Variables, with Cost for Observations. Ann. Probab. 20 (1992), no. 3, 1222--1228. doi:10.1214/aop/1176989689. https://projecteuclid.org/euclid.aop/1176989689


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