A prophet inequality for L^p-bounded dependent random variables

DOI10.1007/S11117-014-0295-3MaRDI QIDQ2355136zbMATH OpenOpenAlexWikidataFDO

Authors Adam Osȩkowski

Publication date 21 July 2015

Published in Positivity (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11117-014-0295-3

zbMATH Keywords

dependent random variablesoptimal stoppingBellman functionprophet inequality

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

• scientific article; zbMATH DE number 999509 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 67294 (Why is no real title available?)
• scientific article; zbMATH DE number 67295 (Why is no real title available?)
• A prophet inequality for independent random variables with finite variances
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Comparison of optimal value and constrained maxima expectations for independent random variables
• Lower semicontinuity property of multiparameter optimal stopping value and its application to multiparameter prophet inequalities
• Monge--Amp\`ere equation and Bellman optimization of Carleson Embedding Theorems
• Optimal stopping of independent random variables and maximizing prophets
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Prophet Inequalities for I.I.D. Random Variables with Random Arrival Times
• Prophet compared to gambler: Additive inequalities for transforms of sequences of random variables
• Prophet compared to gambler: An inequality for transforms of processes
• Prophet inequalities for averages of independent non-negative random variables
• Prophet inequalities for optimal stopping rules with probabilistic recall
• Prophet inequalities for two-parameter optimal stopping problems
• Prophet-type inequalities for multi-choice optimal stopping
• Pseudo-prophet Inequalities in Average-Optimal Stopping
• Ratio prophet inequalities when the mortal has several choices
• Semiamarts and finite values
• Sharp martingale and semimartingale inequalities.
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables

Cited in

(6)

• Prophet inequalities for dependent random variables
• A prophet inequality for \(L^2\)-martingales
• scientific article; zbMATH DE number 1536181 (Why is no real title available?)
• Contradictory predictions with multiple agents
• scientific article; zbMATH DE number 3860099 (Why is no real title available?)
• On the prophet inequality for subadditive processes

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