Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping

DOI10.2307/1427691zbMath0758.60046OpenAlexW2334066550MaRDI QIDQ4018260

Robert P. Kertz, Douglas P. Kennedy

Publication date: 16 January 1993

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427691

zbMATH Keywords

weak convergencefunctional limit theoremspoint processesextreme value theorydomains of attractionconvergence of supremalast-exit times

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Stopping times; optimal stopping problems; gambling theory (60G40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stopping in statistics (62L15)

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Approximation of optimal stopping problems. ⋮ On the multi-attribute stopping problem with general value functions

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