Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes (Q549791)

The author studies an optimal stopping problem for discrete time multiparameter processes with index set \(\mathbb{N}^d\). He studies ``additive prophet inequalities'' for processes \(\{X(z): z\in I\}\) with an index set \(I\) of the form \(I= \{z\in\mathbb{N}^d: z\leq t\}\), where \(t\in\mathbb{N}^d\) and the semi-order is the natural one. Assume that the random variables \(X(z)\) are independent and take values in \([0,1]\). The arm is to find the best possible bound \(\delta\) such that \[ D= E\Biggl(\sup_{z\in I} X(z)\Biggr)- V(\{X(z): z\in I\})\leq\delta. \] Here, \(V\) is the ``value'' of the process for a player without foresight. This player can only try to attain a maximal reward using ``tactics'': In each moment \(s\leq t\), he can only make use of the information given by \(\{X(z): z\leq s\}\) to decide if he wants to stop and get \(X(s)\), or to which of the direct sucessors of \(s\) he wants to proceed. For dimensional \(d=1\), \textit{T. P. Hill} and \textit{R. P. Kertz} [A survey of prophet inequalities in optimal stopping theory. Strategies for sequential search and selection in real time, Proc. Conf., Amherst/ MA (USA) 1990, Contemp. Math. 125, 191--207 (1992; Zbl 0794.60040)] determined \(\delta={1\over 4}\). Here, the author shows that the optimal \(\delta\) is determined by a nonlinear programming problem.