Sample-Based Prophet Inequalities for Random Walks

Abstract

We study prophet inequalities for a random walk reward stopping problem with sample-based information. The goal is to stop as close as possible to the maximum of a random walk with i.i.d. increments, measuring performance by the ratio between the expected reward when stopping and the expected true maximum. We consider a sample-based model in which the increment distribution is unknown and the decision maker has access to $K$ independent sample paths of the reward process. For the infinite-horizon setting, we establish a sharp prophet inequality with constant $(K/(K+1))^{K+1}$. The guarantee is attained by a randomised stopping rule based on the ladder height decomposition of random walks. As $K\to\infty$, this recovers the classical $1/e$ prophet inequality from the full-information setting. For the finite-horizon setting, where the process terminates after $n$ steps, we first prove a tight no-information prophet inequality with constant $1/H_n$, where $H_n$ is the $n$-th harmonic number. For $K\ge1$ samples, we show that a prophet constant of $1/4$ is attainable. Finally, we prove that, with $K$ samples, the prophet constant is at most $(K/(K+1))^{K+1}+(6+6H_K)/H_n$ for $n\ge 2K^2$, implying convergence to the infinite-horizon constant as $n\to\infty$. Our approach combines random walk theory, including ladder heights and Spitzer's identity, with linear programming duality. Our results contribute to random walk stopping theory and to sample-based prophet inequalities for correlated rewards, an area that remains largely unexplored. To the best of our knowledge, our tight sample-based prophet inequalities are the first whose performance is parameterised exactly, rather than only up to constants, by the number of available samples.