Bounds for optimal stopping values of dependent random variables with given marginals (Q5930652)
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scientific article; zbMATH DE number 1590175
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| English | Bounds for optimal stopping values of dependent random variables with given marginals |
scientific article; zbMATH DE number 1590175 |
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Bounds for optimal stopping values of dependent random variables with given marginals (English)
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18 February 2002
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Consider the problem of optimal stopping for a finite number of random variables with given continuous marginal distributions. The author explicitly determines the dependence structure which yields maximal values, also showing equality of this quantity with the values of a prophet. In addition, bounds for the problem of minimization are derived.
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optimal stopping
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prophets
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0.8777984380722046
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0.8700016736984253
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0.8700013756752014
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0.8411126732826233
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