Prophet Regions for Independent [0, 1]-Valued Random Variables with Random Discounting

DOI10.1081/SAP-200056671zbMath1079.60042OpenAlexW2103545576MaRDI QIDQ5316800

Pieter C. Allaart

Publication date: 15 September 2005

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

Full work available at URL: https://doi.org/10.1081/sap-200056671

zbMATH Keywords

conjugate dualityprophet inequalityinequalities for stochastic processesoptimal stopping value

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (1)

Prophet Regions for Discounted, Uniformly Bounded Random Variables

Cites Work

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• Prophet region for independent random variables with a discount factor
• Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality
• Ratio comparisons of supremum and stop rule expectations
• Prophet regions for independent random variables with simultaneous costs and discountings
• An application of prophet regions to optimal stopping with a random number of observations

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