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Uniform-offer stopping recursion (vj​=(1+vj−12​)/2,v1​=1/2)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Martingale Snell envelope Optimal stopping
2026-10-07  0 By others on same topic  0 Discussions Create my own version
With independent uniform distributions on [0,1] as sequential offers and a finite number of rounds, the continuation value with j−1 offers remaining is vj−1​. Accept the current offer when it reaches that threshold. Integrating the maximum of the offer and continuation value gives the recursion, by the Snell envelope principle.

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  1. Optimal stopping
  2. Snell envelope
  3. Martingale
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  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 39 / 4 / c / Solution

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