Recognising the Last Record of a Sequence

Details Recognising the Last Record of a Sequence Recognising the Last Record of a Sequence

2006-02-13

arxiv.org/abs/math/0602278v1

Mathematics

Probability

Scientific paper

We study the best-choice problem for processes which generalise the process
of records from Poisson-paced i.i.d. observations. Under the assumption that
the observer knows distribution of the process and the horizon, we determine
the optimal stopping policy and for a parametric family of problems also derive
an explicit formula for the maximum probability of recognising the last record.

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