The secretary problem for a random walk

The secretary problem for a random walk is described. A particle has equal probabilities of moving j steps up or j steps down. The optimal strategy of picking the maximum height in n steps without the opportunity of recall is found. The best strategy is shown to be exactly the same as the naive strategy of choosing the first element of the sequence. The theory is extended to symmetric continuous distributions.

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Year of publication:	1988
Authors:	Hlynka, M. ; Sheahan, J. N.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 28.1988, 2, p. 317-325
Publisher:	Elsevier
Keywords:	secretary problem random walk optimal stopping

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873069