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Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions

  • Rinott, Yosef
  • Samuel-Cahn, Ester

Suppose you observe a finite sequence of random variables from some known joint distribution F, you can stop the process at any time and your profit is the last observed value. If an optimal stopping rule is used, denote the expected profit by VF. What kind of ordering on multivariate distributions F and G will guarantee VF

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

Volume (Year): 37 (1991)
Issue (Month): 1 (April)
Pages: 104-114

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Handle: RePEc:eee:jmvana:v:37:y:1991:i:1:p:104-114
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