Recommended Citation
Postprint version. Published in Journal of Multivariate Analysis, Volume 31, Issue 3, November 1, 1989, pages 236-243.
Copyright © 1989 Elsevier.
NOTE: At the time of publication, the author Theodore P. Hill was not yet affiliated with Cal Poly.
The definitive version is available at https://doi.org/10.1016/0047-259X(89)90064-X.
Abstract
Generalizations of prophet inequalities for single sequences are obtained for optimal stopping of several parallel sequences of independent random variables. For example, if {Xi, j, 1 ≤ i ≤ n, 1 ≤ j < ∞} are independent non-negative random variables, then E(sup Xi,j) ≤ (n + 1) max sup {E(Xi,t): t is a stop rule for Xi,1, Xi,2, ...} and this bound is best possible. Applications are made to comparisons of the optimal expected returns of various alternative methods of stopping of parallel processes.
Disciplines
Mathematics
URL: https://digitalcommons.calpoly.edu/rgp_rsr/43