On the expectation of the maximum for sums of independent random variables

DOI10.1007/BF01897820zbMath0582.60058MaRDI QIDQ1068448

Albrecht Irle

Publication date: 1985

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/176010

zbMATH Keywords

optimal stopping in continuous time

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Convergence rates in the law of large numbers for martingales ⋮ Largest excess of boundary crossings for martingales

Cites Work

• On stopping rules and the expected supremum of \(S_n/a_n\) and \(| S_n|/a_n\)
• Some One-Sided Theorems on the Tail Distribution of Sample Sums with Applications to the Last Time and Largest Excess of Boundary Crossings
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
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