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Bounds for optimal stopping values of dependent random variables with given marginals

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  • Müller, Alfred

Abstract

We consider the problem of optimal stopping of a finite sequence of dependent random variables. We explicitly determine the maximum of the stopping value within the Fréchet class of all multivariate distributions with given continuous marginals. We show that the maximum is attained for a shuffle of min copula, and that it coincides with the value of a prophet.

Suggested Citation

  • Müller, Alfred, 2001. "Bounds for optimal stopping values of dependent random variables with given marginals," Statistics & Probability Letters, Elsevier, vol. 52(1), pages 73-78, March.
    • Handle: RePEc:eee:stapro:v:52:y:2001:i:1:p:73-78
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    References listed on IDEAS

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    1. Muller, Alfred, 2000. "Expected utility maximization of optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 122(1), pages 101-114, April.
    2. Rinott, Yosef & Samuel-Cahn, Ester, 1991. "Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 104-114, April.
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