Prophet compared to gambler: An inequality for transforms of processes

DOI10.1214/AOP/1176991996zbMath0637.60057OpenAlexW2030393020MaRDI QIDQ1098488

Ulrich Krengel, Louis Sucheston

Publication date: 1987

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176991996

zbMATH Keywords

prophet inequalitytransforms of processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Prophet compared to gambler: Additive inequalities for transforms of sequences of random variables ⋮ Expectation inequalities associated with prophet problems¹ ⋮ Exploring ramification of the equation \(E(Y|X)=X\) ⋮ A prophet inequality for \(L^p\)-bounded dependent random variables

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