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Optimal cooperative stopping rules for maximization of the product of the expected stopped values

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  • Assaf, David
  • Samuel-Cahn, Ester

Abstract

The problem of finding stopping rules which maximize (EXt) (EYt) is considered, for independent pairs (Xi, Yi) of nonnegative r.v.s. with known joint distribution. The solution is compared to that of maximizing E(Xt Yt). When (Xi, Yi) are uniform, a detailed analysis is given for the maximization problem, and for the corresponding minimization and discounted infinite horizon problems.

Suggested Citation

  • Assaf, David & Samuel-Cahn, Ester, 1998. "Optimal cooperative stopping rules for maximization of the product of the expected stopped values," Statistics & Probability Letters, Elsevier, vol. 38(1), pages 89-99, May.
    • Handle: RePEc:eee:stapro:v:38:y:1998:i:1:p:89-99
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    Cited by:

    1. Hua, Zhongsheng & Li, Sijie & Liang, Liang, 2006. "Impact of demand uncertainty on supply chain cooperation of single-period products," International Journal of Production Economics, Elsevier, vol. 100(2), pages 268-284, April.
    2. Yuval Heller, 2012. "Sequential Correlated Equilibria in Stopping Games," Operations Research, INFORMS, vol. 60(1), pages 209-224, February.

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