Prophet region for independent random variables with a discount factor

DOI10.1016/0047-259X(91)90112-FMaRDI QIDQ756263zbMATH OpenFDO

Authors Frans Boshuizen

Publication date 1991

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingconjugate dualityprophet inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40)

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• scientific article; zbMATH DE number 1330894
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Cites work

• scientific article; zbMATH DE number 3229274 (Why is no real title available?)
• scientific article; zbMATH DE number 3323651 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Prophet inequalities for cost of observation stopping problems
• 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

Cited in

(8)

• A statistical version of prophet inequalities
• Prophet regions for independent random variables with simultaneous costs and discountings
• Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes
• Prophet Regions for Discounted, Uniformly Bounded Random Variables
• A simple derivation of a complicated prophet region
• Prophet Regions for Independent [0, 1]-Valued Random Variables with Random Discounting
• scientific article; zbMATH DE number 945269 (Why is no real title available?)
• Prophet regions for independent random variables with increasing bounds

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