Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions

Yosef Rinott and Ester Samuel-Cahn

Journal of Multivariate Analysis, 1991, vol. 37, issue 1, 104-114

Abstract: Suppose you observe a finite sequence of random variables from some known joint distribution F, you can stop the process at any time and your profit is the last observed value. If an optimal stopping rule is used, denote the expected profit by VF. What kind of ordering on multivariate distributions F and G will guarantee VF

Keywords: optimal; stopping; negative; dependence; prophet; inequality; PF2; distributions; random; replacement; schemes; ordering; of; random; variables (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (3)

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