Recognising the last record of sequence
ALEXANDER V. GNEDIN · Stochastics · 2007
We study the best-choice problem for processes which generalise the process of records from Poisson-paced i.i.d. observations. Under the assumption that the observer knows distribution of the process and the horizon, we determine the optimal stopping policy; and for a parametric family of problems also derive an explicit formula for the maximum probability of recognising the last record.