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Stopping rules and tactics for processes indexed by a directed set

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  • Krengel, Ulrich
  • Sucheston, Louis
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    Abstract

    A new notion of tactic for processes indexed by a directed set is introduced. The main theorem, giving conditions under which tactics can be mapped on stopping times on the line, is applied to reduce some optimal stopping problems in the plane to the same problems on the line. In the case of independent random variables, one achieves a nearly complete reduction of the optimal reward problem to the linear case.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 11 (1981)
    Issue (Month): 2 (June)
    Pages: 199-229

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    Handle: RePEc:eee:jmvana:v:11:y:1981:i:2:p:199-229

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    Related research

    Keywords: Stopping rule tactic independent random variables averages of independent identically distributed random variables optimal reward maximal inequality linear embedding;

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    Cited by:
    1. Evstigneev,Igor & Taksar,Michael, 1992. "Stochastic equilibria on graphs,I," Discussion Paper Serie A 391, University of Bonn, Germany.
    2. Evstigneev, Igor & Taksar, Michael, 2009. "Dynamic interaction models of economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 166-182, January.
    3. Siegfried Berninghaus & Hans G√ľnther Seifert-Vogt, 1987. "International Migration under Incomplete Information," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 123(II), pages 199-218, June.
    4. Gail Ivanoff, B. & Merzbach, Ely & Schiopu-Kratina, Ioana, 1995. "Lattices of random sets and progressivity," Statistics & Probability Letters, Elsevier, vol. 22(2), pages 97-102, February.

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