Stochastic processes with proportional increments and the last-arrival problem

DOI10.1016/j.spa.2012.05.010zbMath1255.60166OpenAlexW2007945831MaRDI QIDQ444355

F. Thomas Bruss, Marc Yor

Publication date: 14 August 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2012.05.010

zbMATH Keywords

martingaleswell-posednessShannon entropyLevy processesoptimal stopping problemsinvestment problem\(1/e\)-lawgame versionHadamard's criteriamonotone subsequence problemno-information versionPascal processesreverse martingales

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

The 1/e-strategy is sub-optimal for the problem of best choice under no information ⋮ Quantizations of probability measures and preservation of the convex order ⋮ Dokładna i asymptotyczna analiza rozwiązań optymalnych problemów zatrzymania Brussa i Webera ⋮ The best choice problem with random arrivals: how to beat the \(1 / e\)-strategy

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