Continuity Properties of Optimal Stopping Value

DOI10.2307/2046927zbMath0671.60039OpenAlexW4206640369MaRDI QIDQ3823566

John H. Elton

Publication date: 1989

Full work available at URL: https://doi.org/10.2307/2046927

zbMATH Keywords

stopping rulescontinuity propertiestopology of convergence in distribution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Connected and locally connected spaces (general aspects) (54D05) Optimal stopping in statistics (62L15) Real-valued functions in general topology (54C30) Functions of several variables (26B99) Mathematical programming (90C99)

Related Items (3)

Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ On Hedging American Options under Model Uncertainty

Cites Work

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• 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
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Extreme order statistics with cost of sampling
• Comparison of stop rule and maximum expectations for finite sequences of exchangeable random variables
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Semiamarts and finite values

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