Comparison of Values of Independent Random Variables in a Bayesian Setting
Uwe Saint‐Mont · Sequential Analysis · 2003
An optimal stopping problem for independent observations in a Bayesian setting is considered. One optimal stopper knows only the prior distributions of the independent X i 's, while the other stopper knows the conditional distributions of the X i 's. We show that the extremal relationship of the returns to the two different optimal stoppers is the same as the relationship between an optimal stopper and a “prophet” in a usual corresponding optimal stopping setting.