Expectation inequalities associated with prophet problems1

DOI10.1080/07362998708809118zbMath0633.60063OpenAlexW1996300920MaRDI QIDQ3771343

Theodore P. Hill

Publication date: 1987

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998708809118

zbMATH Keywords

optimal stoppingprophet inequalityoptimal orderings

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Prophet regions for look-ahead stopping rules for bounded random variables

Cites Work

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• The advantage of using non-measurable stop rules
• Comparison of threshold stop rules and maximum for independent nonnegative random variables
• Optimal stopping of independent random variables and maximizing prophets
• Prophet regions and sharp inequalities for pth absolute moments of martingales
• 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
• Prophet-type inequalities for multi-choice optimal stopping
• Prophet compared to gambler: An inequality for transforms of processes
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Comparison of stop rule and maximum expectations for finite sequences of exchangeable random variables
• Selection of order of observation in optimal stopping problems
• Comparison of optimal value and constrained maxima expectations for independent random variables
• Ratio comparisons of supremum and stop rule expectations
• Semiamarts and finite values
• Optimal Stopping for Partial Sums

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