Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables

DOI10.2307/2044124zbMath0476.60044OpenAlexW4241186150MaRDI QIDQ3933719

Robert P. Kertz, Theodore P. Hill

Publication date: 1981

Full work available at URL: https://doi.org/10.2307/2044124

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Mathematical programming (90C99)

Related Items (19)

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: Additive inequalities for transforms of sequences of random variables ⋮ Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables ⋮ Prophet Inequalities and Order Selection in Optimal Stopping Problems ⋮ A prophet inequality for \(L^2\)-martingales ⋮ Prophet inequalities for bounded negatively dependent random variables ⋮ Moment-based minimax stopping functions for sequences of random variables ⋮ Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes ⋮ Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities ⋮ Prophet inequalities for finite stage multiparameter optimal stopping problems ⋮ Prophet inequalities for cost of observation stopping problems ⋮ Prophet region for independent random variables with a discount factor ⋮ Prophet inequalities for parallel processes ⋮ Continuity Properties of Optimal Stopping Value ⋮ A simple derivation of a complicated prophet region ⋮ Extremal distributions for the prophet region in the independent case ⋮ A prophet inequality for \(L^p\)-bounded dependent random variables

Cites Work

• Unnamed Item
• Ratio comparisons of supremum and stop rule expectations
• Semiamarts and finite values

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