Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables

DOI10.2307/1999311zbMATH Open0517.60051OpenAlexW4249007104MaRDI QIDQ3665985FDOQ3665985

Authors: Theodore P. Hill, Robert P. Kertz 

Publication date: 1983

Full work available at URL: https://doi.org/10.2307/1999311

zbMATH Keywords

prophet inequalitiesstop rulesprophet problemsuniformly bounded Markov processesuniformly bounded martingales

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Mathematical programming (90C99)

Cites Work

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• A converse to the dominated convergence theorem
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• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Ratio comparisons of supremum and stop rule expectations
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• The advantage of using non-measurable stop rules
• A maximal inequality for skew fields
• Semiamarts and finite values
• Title not available (Why is that?)

Cited In (12)

• A prophet inequality for \(L^2\)-martingales
• Distributionally Robust Inventory Control When Demand Is a Martingale
• A prophet inequality for \(L^p\)-bounded dependent random variables
• Martingales with given maxima and terminal distributions
• Extremal distributions for the prophet region in the independent case
• Prior independent mechanisms via prophet inequalities with limited information
• Prophet regions and sharp inequalities for pth absolute moments of martingales
• Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality
• Prophet inequalities for cost of observation stopping problems
• Continuity Properties of Optimal Stopping Value
• Prophet inequalities for averages of independent non-negative random variables
• Common strict character of some sharp infinite-sequence martingale inequalities

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