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About this paper
Pieter Kleer, Johan van Leeuwaarden, Daan Noordenbos
The authors study stopping on positive partial sums of an infinite-horizon random walk with unknown negative-mean i.i.d. increments, using K independent sample paths. Their rule estimates the number of record highs from the samples and randomizes the stopping record. It guarantees the sharp ratio C_K=(K/(K+1))^(K+1) to the expected maximum; finite-horizon results do not establish this matching guarantee.
Summary by alphaXiv.
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