A simple derivation of a complicated prophet region

DOI10.1006/JMVA.2000.1972zbMath1006.60039OpenAlexW2040898909MaRDI QIDQ1599069

Uwe Saint-Mont

Publication date: 24 February 2003

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

Full work available at URL: https://doi.org/10.1006/jmva.2000.1972

zbMATH Keywords

optimal stoppingbalayage techniqueiid problemprophet regions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (3)

Optimal revenue guarantees for pricing in large markets ⋮ From pricing to prophets, and back! ⋮ Posted Price Mechanisms and Optimal Threshold Strategies for Random Arrivals

Cites Work

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• Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables

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