Prophet Inequalities for I.I.D. Random Variables with Random Arrival Times

DOI10.1080/07474940701620857zbMath1136.60027arXivmath/0611664OpenAlexW2170136274MaRDI QIDQ5431474

Pieter C. Allaart

Publication date: 10 December 2007

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611664

zbMATH Keywords

Poisson processoptimal stopping ruleprophet inequality

Mathematics Subject Classification ID

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

Related Items (2)

Posted Price Mechanisms and Optimal Threshold Strategies for Random Arrivals ⋮ A prophet inequality for \(L^p\)-bounded dependent random variables

Cites Work

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• 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

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