Existence of optimal stopping rules for linear and quadratic rewards

DOI10.1007/BF00535366zbMath0295.60033OpenAlexW4242333972MaRDI QIDQ4048311

Jacob Wolfowitz, H. Teicher

Publication date: 1966

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00535366

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Markov processes (60J99)

Related Items (4)

Regarding stopping rules for Brownian motion and random walks ⋮ An optimal stopping problem with finite horizon for sums of i.i.d. random variables ⋮ A Hàjek-Rényi extension of Lévy's inequality and some applications ⋮ Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme

Cites Work

• On optimal stopping rules for \(s_ n /n\)
• A Sharper Form of the Borel-Cantelli Lemma and the Strong Law
• Optimum Character of the Sequential Probability Ratio Test
• On certain limit theorems of the theory of probability

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