Prophet inequalities for cost of observation stopping problems

DOI10.1016/0047-259X(90)90038-JzbMath0753.60042MaRDI QIDQ1814046

Martin L. Jones

Publication date: 25 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemprophet inequalitiesstochastic processes with a cost of observation

Mathematics Subject Classification ID

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

Related Items (7)

Prophet regions for independent random variables with simultaneous costs and discountings ⋮ Prophet inequalities for products of non–negative random variables ⋮ Difference prophet inequalities for \([0,1\)-valued i.i.d. random variables with cost for observations] ⋮ A statistical version of prophet inequalities ⋮ Prophet region for independent random variables with a discount factor ⋮ Prophet Regions for Discounted, Uniformly Bounded Random Variables ⋮ Prophet regions for independent random variables with increasing bounds

Cites Work

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• Optimal Persistence Policies
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Semiamarts and finite values

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