Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates
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Publication:1825517
DOI10.1214/AOP/1176991266zbMath0684.60032OpenAlexW2081622123MaRDI QIDQ1825517
Publication date: 1989
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176991266
Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)
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Some best possible prophet inequalities for convex functions of sums of independent variates and unordered martingale difference sequences ⋮ Ratio prophet inequalities for convex functions of partial sums
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