Prophet Regions for Discounted, Uniformly Bounded Random Variables

DOI10.1080/07362990600629140zbMath1102.60038OpenAlexW2168301274MaRDI QIDQ5478915

Pieter C. Allaart

Publication date: 13 July 2006

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

Full work available at URL: https://doi.org/10.1080/07362990600629140

zbMATH Keywords

optimal stopping rulesupermartingaleprophet inequalityrandom discountingdiscounted factor

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

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• Prophet region for independent random variables with a discount factor
• A difference prophet inequality for bounded i.i.d. variables, with cost for observations
• Prophet inequalities for cost of observation stopping problems
• A maximal inequality for skew fields
• Prophet regions for independent random variables with simultaneous costs and discountings
• An application of prophet regions to optimal stopping with a random number of observations
• Prophet Regions for Independent [0, 1-Valued Random Variables with Random Discounting]

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