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

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  • Kertz, Robert P.

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

Suggested Citation

  • Kertz, Robert P., 1986. "Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality," Journal of Multivariate Analysis, Elsevier, vol. 19(1), pages 88-112, June.
    • Handle: RePEc:eee:jmvana:v:19:y:1986:i:1:p:88-112
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    Cited by:

    1. Saint-Mont, Uwe, 2002. "A Simple Derivation of a Complicated Prophet Region," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 67-72, January.
    2. Uwe Saint-Mont, 2017. "Comparing Different Information Levels," The Open Statistics and Probability Journal, Bentham Open, vol. 8(1), pages 7-18, July.
    3. Sebastian Perez-Salazar & Victor Verdugo, 2024. "Optimal Guarantees for Online Selection Over Time," Papers 2408.11224, arXiv.org.

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