Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities

DOI10.1016/J.JMAA.2009.03.035MaRDI QIDQ2272044zbMATH OpenOpenAlexFDO

Authors Teruo Tanaka

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

zbMATH Keywords

lower semicontinuityoptimal stoppingconvergence in distributionstopping rulesstopping pointmultiparameter stochastic processprophet inequality continuity propertiestopology of convergence in distribution

Mathematics Subject Classification ID

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)

Recommendations

• Continuity Properties of Optimal Multiple Stopping Value
• Continuity Properties of Optimal Stopping Value
• Prophet inequalities for finite stage multiparameter optimal stopping problems
• Triangular function and continuity property of multiparameter optimal stopping value
• Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes

Cites work

• scientific article; zbMATH DE number 67295 (Why is no real title available?)
• scientific article; zbMATH DE number 862533 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Continuity Properties of Optimal Stopping Value
• Discrete multiarmed bandits and multiparameter processes
• Markov strategies for optimal control problems indexed by a partially ordered set
• Optimal stopping and supermartingales over partially ordered sets
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Prophet inequalities for finite stage multiparameter optimal stopping problems
• Prophet inequalities for parallel processes
• Prophet inequalities for two-parameter optimal stopping problems
• Ratio comparisons of supremum and stop rule expectations
• Set-Indexed Stochastic Processes and Predictability
• Stopping Times and Directed Processes
• Stopping rules and tactics for processes indexed by a directed set
• Two parameter optimal stopping and bi-Markov processes

Cited in

(6)

• A prophet inequality for \(L^p\)-bounded dependent random variables
• A prophet inequality for \(L^2\)-martingales
• Prophet inequalities for finite stage multiparameter optimal stopping problems
• Triangular function and continuity property of multiparameter optimal stopping value
• Value operators of optimal stopping problems for discrete time multiparameter Markov processes
• Continuity Properties of Optimal Stopping Value

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