Continuity Properties of Optimal Stopping Value

DOI10.2307/2046927MaRDI QIDQ3823566zbMATH OpenOpenAlexFDO

Authors John H. Elton

Publication date 1989

Full work available at URL https://doi.org/10.2307/2046927

zbMATH Keywords

continuity propertiesstopping rulestopology of convergence in distribution

Mathematics Subject Classification ID

Functions of several variables (26B99) Real-valued functions in general topology (54C30) Connected and locally connected spaces (general aspects) (54D05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Mathematical programming (90C99)

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Cites work

• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Comparison of stop rule and maximum expectations for finite sequences of exchangeable random variables
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Extreme order statistics with cost of sampling
• scientific article; zbMATH DE number 3426516 (Why is no real title available?)
• scientific article; zbMATH DE number 3289158 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Optimal stopping of independent random variables and maximizing prophets
• Prophet regions and sharp inequalities for pth absolute moments of martingales
• Semiamarts and finite values
• Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables

Cited in

(6)

• All adapted topologies are equal
• Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities
• Continuity Properties of Optimal Multiple Stopping Value
• No-arbitrage and hedging with liquid American options
• On hedging American options under model uncertainty
• Triangular function and continuity property of multiparameter optimal stopping value

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