Bounds for optimal stopping values of dependent random variables with given marginals
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.
Year of publication: |
2001
|
---|---|
Authors: | Müller, Alfred |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 52.2001, 1, p. 73-78
|
Publisher: |
Elsevier |
Keywords: | Optimal stopping Bounds Distributions with given marginals Copula Prophet inequalities |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Wirtschaftsordnung und Gesellschaftskonzept : zur Integrationskraft der Sozialen Marktwirtschaft
Hasse, Rolf H., (2002)
-
Franz, Otmar, (2002)
-
Vademecum zu einem Klassiker der Ordnungspolitik
Müller-Armack, Alfred, (1999)
- More ...