Bounds for the Success Probability in the Odds Theorem

Abstract

Bruss's odds theorem \cite{Bruss1} addresses the problem of determining the optimal stopping time for sequences of independent indicator functions. In this note, we derive upper and lower bounds for the success probability under the optimal stopping rule. These bounds depend on the number of independent events under consideration and on a deterministic index specifying the stopping time. Moreover, the bounds are sharp: we provide explicit examples in which the corresponding inequalities are attained with equality.