Bounds for optimal stopping values of dependent random variables with given marginals

Alfred Müller

Statistics & Probability Letters, 2001, vol. 52, issue 1, 73-78

Abstract: We consider the problem of optimal stopping of a finite sequence of dependent random variables. We explicitly determine the maximum of the stopping value within the Fréchet class of all multivariate distributions with given continuous marginals. We show that the maximum is attained for a shuffle of min copula, and that it coincides with the value of a prophet.

Keywords: Optimal; stopping; Bounds; Distributions; with; given; marginals; Copula; Prophet; inequalities (search for similar items in EconPapers)
Date: 2001
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