Optimal cooperative stopping rules for maximization of the product of the expected stopped values

David Assaf and Ester Samuel-Cahn

Statistics & Probability Letters, 1998, vol. 38, issue 1, 89-99

Abstract: The problem of finding stopping rules which maximize (EXt) (EYt) is considered, for independent pairs (Xi, Yi) of nonnegative r.v.s. with known joint distribution. The solution is compared to that of maximizing E(Xt Yt). When (Xi, Yi) are uniform, a detailed analysis is given for the maximization problem, and for the corresponding minimization and discounted infinite horizon problems.

Keywords: Optimal; stopping; rules; Multivariate; stopping; rules; Extremal; distributions; Cooperative; stopping; rules (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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