Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
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Publication:3665985
DOI10.2307/1999311zbMath0517.60051OpenAlexW4249007104MaRDI QIDQ3665985
Robert P. Kertz, Theodore P. Hill
Publication date: 1983
Full work available at URL: https://doi.org/10.2307/1999311
prophet inequalitiesstop rulesprophet problemsuniformly bounded Markov processesuniformly bounded martingales
Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical programming (90C99)
Related Items (12)
Prophet regions and sharp inequalities for pth absolute moments of martingales ⋮ Common strict character of some sharp infinite-sequence martingale inequalities ⋮ Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality ⋮ Prophet inequalities for averages of independent non-negative random variables ⋮ A prophet inequality for \(L^2\)-martingales ⋮ Prior independent mechanisms via prophet inequalities with limited information ⋮ Martingales with given maxima and terminal distributions ⋮ Prophet inequalities for cost of observation stopping problems ⋮ Continuity Properties of Optimal Stopping Value ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Extremal distributions for the prophet region in the independent case ⋮ A prophet inequality for \(L^p\)-bounded dependent random variables
Cites Work
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- The advantage of using non-measurable stop rules
- Comparisons of stop rule and supremum expectations of i.i.d. random variables
- A converse to the dominated convergence theorem
- Prophet Inequalities and Order Selection in Optimal Stopping Problems
- A maximal inequality for skew fields
- 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
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