✦ LIBER ✦

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

✍ Scribed by Alfred Müller

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 92 KB
Volume: 52
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00220-0

No coin nor oath required. For personal study only.

✦ Synopsis

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

📜 SIMILAR VOLUMES

An optimal stopping problem with finite

An optimal stopping problem with finite horizon for sums of I.I.D. random variables

✍ Wolfgang Stadje 📂 Article 📅 1987 🏛 Elsevier Science 🌐 English ⚖ 738 KB

Upper stop-loss bounds for sums of possi

Upper stop-loss bounds for sums of possibly dependent risks with given means and variances

✍ Christian Genest; Étienne Marceau; Mhamed Mesfioui 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 234 KB

Limit Theorems with ϑ-Rates for Random S

Limit Theorems with ϑ-Rates for Random Sums of Dependent Banach-Valued Random Variables

✍ Paul L. Butzer; Dietmar Schulz 📂 Article 📅 1984 🏛 John Wiley and Sons 🌐 English ⚖ 901 KB

The random variables (r.vs.) X , . i E S : = ( 1 , 2 ...I, to he dealt uith are measurable mappings from a probability space (9. 91, P ) into a measure space (B, %), R being a RANACH space with a countable hasis (e,),,,, and ' 3 the o-algebra of 13orel sets of B. The type of convergence to be mainly