Optimal cooperative stopping rules for maximization of the product of the expected stopped values

The problem of finding stopping rules which maximize (EXt) (EYt) is considered, for independent pairs (Xi, Yi) of nonnegative r.v.s. with known joint distribution. The solution is compared to that of maximizing E(Xt Yt). When (Xi, Yi) are uniform, a detailed analysis is given for the maximization problem, and for the corresponding minimization and discounted infinite horizon problems.

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Year of publication:	1998
Authors:	Assaf, David ; Samuel-Cahn, Ester
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 38.1998, 1, p. 89-99
Publisher:	Elsevier
Keywords:	Optimal stopping rules Multivariate stopping rules Extremal distributions Cooperative stopping rules

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138302