Los valores del juego de parada óptima para medias aritméticas de variables de Bernoulli

We study optimal stopping problems for generalized averages of identically distributedBernoulli variables, taking values in the set D = {d0, d1}. We obtain a recurrentformula in the finite horizon case, which gives the value of the game in terms ofassociated problems of smaller horizon. This allows...

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Main Authors: Lobo Segura, Jaime, Cambronero, Santiago
Format: Artículo
Language: Español
Published: 2015
Online Access: http://revistas.ucr.ac.cr/index.php/matematica/article/view/225
http://hdl.handle.net/10669/12868
Summary: We study optimal stopping problems for generalized averages of identically distributedBernoulli variables, taking values in the set D = {d0, d1}. We obtain a recurrentformula in the finite horizon case, which gives the value of the game in terms ofassociated problems of smaller horizon. This allows us to create algorithms for computingthe value of the game, as well as the optimal stopping time in these cases.Moreover, we present a series of aplicattions to the study of properties of the value asa function of the parameters.Keywords: Stopping times problems, generalized means, stopping times decomposition,sufficient class of stopping times, recurrence formulas, Bernoulli variables.