Uncertainty and Probability Secretary Problem

Ambiguous Secretary Problem

we need a time–consistent multiple prior version of the model

allow all priors with

P[Yn= 1|Y 1 ,...,Yn− 1 ]∈[an,bn]

for numbers 0≤an≤bn≤ 1

model of independent, but ambiguous experiments

payoffZn= 1 ifYn= 1,Yn+1=...=YN= 0

maxτinfPEPZτ