Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality

DOI10.1016/0047-259X(86)90095-3zbMath0598.60044MaRDI QIDQ1079869

Robert P. Kertz

Publication date: 1986

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingconjugate dualityYoung's inequalityextremal distributionsinequalities for stochastic processes

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Mathematical programming (90C99)

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Cites Work

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• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
• Ratio comparisons of supremum and stop rule expectations
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Semiamarts and finite values
• Analytic Inequalities

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