Abstract

Let XI, X2, . . . be independent random variables taking values in [a, b], and let T denote the stop rules for X1, X2, Then E(supn>1 Xn) - sup{ EXt t ≡ T} < (1/4)(b - a), and this bound is best possible. Probabilistically, this says that if a prophet (player with complete foresight) makes a side payment of (b - a)/8 to a gambler (player using nonanticipating stop rules), the game becomes at least fair for the gambler.

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URL: http://digitalcommons.calpoly.edu/rgp_rsr/65