Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables

DOI10.2307/1999311MaRDI QIDQ3665985zbMATH OpenOpenAlexFDO

Authors Theodore P. Hill, Robert P. Kertz

Publication date 1983

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

zbMATH Keywords

prophet inequalitiesprophet problemsstop rulesuniformly bounded Markov processesuniformly bounded martingales

Mathematics Subject Classification ID

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

Cites work

• A converse to the dominated convergence theorem
• A maximal inequality for skew fields
• 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
• scientific article; zbMATH DE number 3617285 (Why is no real title available?)
• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Ratio comparisons of supremum and stop rule expectations
• Semiamarts and finite values
• The advantage of using non-measurable stop rules

Cited in

(13)

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

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