The advantage of using non-measurable stop rules

DOI10.1214/aop/1176993609zbMath0529.60041OpenAlexW1986436573MaRDI QIDQ787581

Victor C. Pestien, Theodore P. Hill

Publication date: 1983

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993609

zbMATH Keywords

optimal stopping theorynon-measurable stopping function

Mathematics Subject Classification ID

Dynamic programming (90C39) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Expectation inequalities associated with prophet problems¹ ⋮ Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables ⋮ Prophet Inequalities and Order Selection in Optimal Stopping Problems ⋮ Moment-based minimax stopping functions for sequences of random variables

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