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OPTIMAL STOPPING IN A STOCHASTIC GAME

Published online by Cambridge University Press:  13 November 2008

Bahar Kaynar
Bahar Kaynar
Affiliation:
Department of Econometrics and Operations Research, VU University Amsterdam, Amsterdam, The Netherlands E-mail: [email protected]
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Abstract

In this article we consider a stochastic game in which each player draws one or two random numbers between 0 and 1. Players can decide to stop after the first draw or to continue for a second draw. The decision is made without knowing the other players’ numbers or whether the other players continue for a second draw. The object of the game is to have the highest total score without going over 1. In the article, we will characterize the optimal stopping rule for each player.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 23 , Issue 1 , January 2009 , pp. 51 - 60
Copyright
Copyright © Cambridge University Press 2009

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References

1.Coe, P.R. & Butterworth, W. (1995). Optimal stopping in “The Showcase Showdown,” The American Statistician 49: 271–275.Google Scholar
2.Tijms, H.C. (2007). Understanding probability, 2nd ed.Cambridge: Cambridge University Press.CrossRefGoogle Scholar