Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality

Robert P. Kertz

Journal of Multivariate Analysis, 1986, vol. 19, issue 1, 88-112

Abstract: A complete comparison is made between the value V(X1,..., Xn) = sup{EXt: t is a stop rule for X1,...,Xn} and E(maxj

Keywords: Optimal; stopping; extremal; distributions; inequalities; for; stochastic; processes; conjugate; duality; Young's; inequality (search for similar items in EconPapers)
Date: 1986
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Citations: View citations in EconPapers (4)

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