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Last Success Problem: Decision Rule and Application

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  • Kohn, Wolfgang

Abstract

Where is the most likely position for the last success in n events, if each event has the same probability Pr(A)? What is the probability for the last success? This situation assumes returning successes which is different to the stop waiting problem where a single best event is assumed. We set F. Thomas Bruss's theory into a simple probability framework and develop a decision rule for the last success. The results are applied to the Apple share prices.

Suggested Citation

  • Kohn, Wolfgang, 2014. "Last Success Problem: Decision Rule and Application," EconStor Preprints 97215, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:97215
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    File URL: https://www.econstor.eu/bitstream/10419/97215/1/lastsuccess.pdf
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    as
    1. Kohn, Wolfgang, 2014. "Stop Waiting Problem: Decision Rule with Ψ function and Application with Share Prices," EconStor Preprints 93096, ZBW - Leibniz Information Centre for Economics.
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      Keywords

      Optimal Stopping Problem; Mathematical Tools;

      JEL classification:

      • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
      • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
      • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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