Limit theorems for threshold-stopped random variables with applications to optimal stopping

DOI10.2307/1427542MaRDI QIDQ3484097zbMATHOpenAlexFDO

Authors Robert P. Kertz, D. P. Kennedy

Publication date 1990

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427542

zbMATH Keywords

extreme value theoryPoisson random measuresthreshold stopping time

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(12)

• On the multi-attribute stopping problem with general value functions
• Comparisons of Threshold Stopping Rule and Supremum Expectations for Independent Random Vectors
• Optimal Two-Choice Stopping on an Exponential Sequence
• Optimal stopping and the sufficiency of randomized threshold strategies
• The full-information best choice problem with a random number of observations
• Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping
• What is Known About Robbins' Problem?
• The asymptotic behavior of the reward sequence in the optimal stopping of i.i.d. random variables
• Two-choice optimal stopping
• On approximative solutions of optimal stopping problems
• On approximative solutions of multistopping problems
• Approximation of optimal stopping problems.

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