Recommended Citation
Postprint version. Published in Journal of Applied Probability, Volume 27, Issue 4, December 1, 1990, pages 828-838.
The definitive version is available at https://doi.org/10.2307/3214826.
Abstract
Optimal stopping of a sequence of random variables is studied, with emphasis on generalized objectives which may be non-monotone functions of EXt, where t is a stopping time, or may even depend on the entire vector (E[X1I{t=1}],⋯, E[XnI{t=n}]), such as the minimax objective to maximize minj{E[XjI{t=j}]}. Convexity is used to establish a prophet inequality and universal bounds for the optimal return, and a method for constructing optimal stopping times for such objectives is given.
Copyright
© 1990 Applied Probability Trust
Number of Pages
11
URL: https://digitalcommons.calpoly.edu/rgp_rsr/105