Related papers: A random walk version of Robbins' problem: small h…

Robbins' problem of optimal stopping asks one to minimise the expected {\it rank} of observation chosen by some nonanticipating stopping rule. We settle a conjecture regarding the {\it value} of the stopped variable under the rule optimal…

Fix some $n \in \mathbb{N}$ and let $X_1, X_2,\dots, X_n$ be independent random variables drawn from the uniform distribution on $[0,1]$. A decision maker is shown the variables sequentially and, after each observation, must decide whether…

In this article we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest non-trivial examples…

In this article, we first give a comprehensive description of random walk (RW) problem focusing on self-similarity, dynamic scaling and its connection to diffusion phenomena. One of the main goals of our work is to check how robust the RW…

We consider a simple random walk W_i in 1 or 2 dimensions, in which the walker may choose to stand still for a limited time. The time horizon is n, the maximum consecutive time steps which can be spent standing still is m_n and the goal is…

In the classical optimal stopping problem, a player is given a sequence of random variables $X_1\ldots X_n$ with known distributions. After observing the realization of $X_i$, the player can either accept the observed reward from $X_i$ and…

We revisit the problem of selecting an item from $n$ choices that appear before us in random sequential order so as to minimize the expected rank of the item selected. In particular, we examine the stopping rule where we reject the first…

We present a comparative study of several algorithms for an in-plane random walk with a variable step. The goal is to check the efficiency of the algorithm in the case where the random walk terminates at some boundary. We recently found…

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…

We consider the best-choice problem for independent (not necessarily iid) observations $X_1, \cdots, X_n$ with the aim of selecting the sample minimum. We show that in this full generality the monotone case of optimal stopping holds and the…

We consider a discounted infinite horizon optimal stopping problem. If the underlying distribution is known a priori, the solution of this problem is obtained via dynamic programming (DP) and is given by a well known threshold rule. When…

We analyze the differences between the horizontal and the vertical component of the simple random walk on the 2-dimensional comb. In particular we evaluate by combinatorial methods the asymptotic behaviour of the expected value of the…

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…

We consider integer-valued random walks with independent but not identically distributed increments, and extend to this context several classical estimates, including a local limit theorem, precise small-ball estimates (both conditional on…

Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…

Fix integers $d \geq 2$ and $k\geq d-1$. Consider a random walk $X_0, X_1, \ldots$ in $\mathbb{R}^d$ in which, given $X_0, X_1, \ldots, X_n$ ($n \geq k$), the next step $X_{n+1}$ is uniformly distributed on the unit ball centred at $X_n$,…

Recently, many streaming algorithms have utilized generalizations of the fact that the expected maximum distance of any $4$-wise independent random walk on a line over $n$ steps is $O(\sqrt{n})$. In this paper, we show that $4$-wise…

For $\tau$ a stopping rule adapted to a sequence of $n$ iid observations, we define the loss to be $\ex [ q(R_\tau)]$, where $R_j$ is the rank of the $j$th observation, and $q$ is a nondecreasing function of the rank. This setting covers…

A variation of Rosenstock's trapping model in which $N$ independent random walkers are all initially placed upon a site of a one-dimensional lattice in the presence of a {\em one-sided} random distribution (with probability $c$) of…

This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a functions of its summands as their number tends to infinity. The conditioning event is of moderate or…