Prophet inequalities for finite stage multiparameter optimal stopping problems

DOI10.1016/j.jmaa.2005.07.083zbMath1102.60039OpenAlexW1969289687MaRDI QIDQ2506420

Teruo Tanaka

Publication date: 28 September 2006

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

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.07.083

zbMATH Keywords

inequalities for stochastic processestacticmulti-parameter stochastic process

Mathematics Subject Classification ID

Random fields (60G60) Inequalities; stochastic orderings (60E15) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Continuity Properties of Optimal Multiple Stopping Value ⋮ Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes ⋮ Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities

Cites Work

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• Markov strategies for optimal control problems indexed by a partially ordered set
• Stopping rules and tactics for processes indexed by a directed set
• Discrete multiarmed bandits and multiparameter processes
• Prophet inequalities for parallel processes
• Two parameter optimal stopping and bi-Markov processes
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Ratio comparisons of supremum and stop rule expectations
• Optimal stopping and supermartingales over partially ordered sets
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables

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