Prophet Regions for Discounted, Uniformly Bounded Random Variables

DOI10.1080/07362990600629140MaRDI QIDQ5478915zbMATH OpenOpenAlexFDO

Authors Pieter C. Allaart

Publication date 13 July 2006

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990600629140

zbMATH Keywords

discounted factoroptimal stopping ruleprophet inequalityrandom discountingsupermartingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• A difference prophet inequality for bounded i.i.d. variables, with cost for observations
• A maximal inequality for skew fields
• An application of prophet regions to optimal stopping with a random number of observations
• scientific article; zbMATH DE number 1330894 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Prophet inequalities for cost of observation stopping problems
• Prophet region for independent random variables with a discount factor
• Prophet Regions for Independent [0, 1]-Valued Random Variables with Random Discounting
• Prophet regions for independent random variables with simultaneous costs and discountings

Cited in

(12)

• A difference prophet inequality for bounded i.i.d. variables, with cost for observations
• Optimal stopping-related inequalities for i.i.d. random variables when the future is discounted
• Prophet inequalities for optimal stopping rules with probabilistic recall
• An inequality for variances of the discounted rewards
• Prophet regions for independent random variables with increasing bounds
• Prophet regions for independent random variables with simultaneous costs and discountings
• scientific article; zbMATH DE number 1330894 (Why is no real title available?)
• scientific article; zbMATH DE number 1064044 (Why is no real title available?)
• scientific article; zbMATH DE number 945269 (Why is no real title available?)
• An application of prophet regions to optimal stopping with a random number of observations
• Prophet Regions for Independent [0, 1]-Valued Random Variables with Random Discounting
• Prophet region for independent random variables with a discount factor

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