Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities
DOI10.1016/J.JMAA.2009.03.035zbMATH Open1186.60038OpenAlexW1963507624MaRDI QIDQ2272044FDOQ2272044
Publication date: 5 August 2009
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.03.035
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lower semicontinuityoptimal stoppingconvergence in distributionstopping rulesstopping pointmultiparameter stochastic processprophet inequality continuity propertiestopology of convergence in distribution
Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Optimal stopping in statistics (62L15) Mathematical programming (90C99)
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- Markov strategies for optimal control problems indexed by a partially ordered set
- Stopping rules and tactics for processes indexed by a directed set
- Prophet inequalities for parallel processes
- Prophet inequalities for finite stage multiparameter optimal stopping problems
- Two parameter optimal stopping and bi-Markov processes
- Prophet Inequalities and Order Selection in Optimal Stopping Problems
- Ratio comparisons of supremum and stop rule expectations
- Optimal stopping and supermartingales over partially ordered sets
- Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
- Prophet inequalities for two-parameter optimal stopping problems
- Continuity Properties of Optimal Stopping Value
- Set-Indexed Stochastic Processes and Predictability
Cited In (4)
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