Prophet region for independent random variables with a discount factor

DOI10.1016/0047-259X(91)90112-FzbMath0722.60038MaRDI QIDQ756263

Frans A. 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)

Related Items (6)

Prophet regions for independent random variables with simultaneous costs and discountings ⋮ Prophet Regions for Independent [0, 1-Valued Random Variables with Random Discounting] ⋮ Additive comparisons of stopping values and supremum values for finite stage multiparameter stochastic processes ⋮ A statistical version of prophet inequalities ⋮ Prophet Regions for Discounted, Uniformly Bounded Random Variables ⋮ Prophet regions for independent random variables with increasing bounds

Cites Work

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• 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
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Additive Comparisons of Stop Rule and Supremum Expectations of Uniformly Bounded Independent Random Variables

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