Sum the Multiplicative Odds to One and Stop

@article{Tamaki2010SumTM,
  title={Sum the Multiplicative Odds to One and Stop},
  author={M. Tamaki},
  journal={Journal of Applied Probability},
  year={2010},
  volume={47},
  pages={761 - 777}
}
  • M. Tamaki
  • Published 1 April 2010
  • Mathematics
  • Journal of Applied Probability
We consider the optimal stopping problem of maximizing the probability of stopping on any of the last m successes of a sequence of independent Bernoulli trials of length n, where m and n are predetermined integers such that 1 ≤ m < n. The optimal stopping rule of this problem has a nice interpretation, that is, it stops on the first success for which the sum of the m-fold multiplicative odds of success for the future trials is less than or equal to 1. This result can be viewed as a… 
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TLDR
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  • M. Tamaki
  • Mathematics
    Advances in Applied Probability
  • 2011
We consider the problem of maximizing the probability of stopping on any of the last m successes in independent Bernoulli trials with random horizon of length N, where m is a predetermined integer. A
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  • M. Tamaki
  • Mathematics, Computer Science
    Advances in Applied Probability
  • 2013
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Journal of Applied Probability Volume 47 (2010): Index
  • Journal of Applied Probability
  • 2010
pages Allaart, P. A general ‘bang–bang’ principle for predicting the maximum of a random walk . . . . . 1072–1083 Alodat, M. T., Al-Rawwash, M. and Jebrini, M. A. Duration distribution of the
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The notion of stochastic processes with proportional increments is introduced. This notion is of general interest as indicated by its relationship with several stochastic processes, as counting
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  • Mathematics
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