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A prophet inequality for independent random variables with finite variances
Published online by Cambridge University Press: 14 July 2016
Abstract
It is demonstrated that for each n ≧ 2 there exists a minimal universal constant, cn, such that, for any sequence of independent random variables {Xr, r ≧ 1} with finite variances, , where the supremum is over all stopping times Τ, 1 ≦ Τ ≦ n. Furthermore, cn ≦ 1/2 and lim infn→ ∞cn ≧ 0.439485 · ··.
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- Copyright © Applied Probability Trust 1997
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Supported in part by NSF grant DMS 92-09586.
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