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Can I read Bounds for Optimal Stopping Values of Dependent Random Variables with Given Marginals on EtoBox?
Bounds for Optimal Stopping Values of Dependent Random Variables with Given Marginals by Alfred Müller is a Mathematics article available to read on EtoBox.
What is Bounds for Optimal Stopping Values of Dependent Random Variables with Given Marginals about?
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 Frà 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.
Who reads Bounds for Optimal Stopping Values of Dependent Random Variables with Given Marginals?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- Alfred Müller
- Publisher
- Elsevier Science; Elsevier ; Elsevier BV (ISSN 0167-7152)
- Published
- 2001
- Language
- EN
- Field
- Mathematics (Physical Sciences)