Predicting the Supremum: Optimality of ‘Stop at Once or Not at All’
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Publication:3165496
DOI10.1239/jap/1346955335zbMath1270.60049arXiv0912.0615OpenAlexW2963231183MaRDI QIDQ3165496
Publication date: 29 October 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.0615
Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Prediction theory (aspects of stochastic processes) (60G25)
Cites Work
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