Prophet inequalities for parallel processes

Generalizations of prophet inequalities for single sequences are obtained for optimal stopping of several parallel sequences of independent random variables. For example, if {Xi, j, 1 <= i <= n, 1 <= j < [infinity]} are independent non-negative random variables, then and this bound is best possible. Applications are made to comparisons of the optimal expected returns of various alternative methods of stopping of parallel processes.

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Year of publication:	1989
Authors:	Hill, T. P. ; Kennedy, D. P.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 2, p. 236-243
Publisher:	Elsevier
Keywords:	optimal stopping prophet inequalities parallel processes

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

Persistent link: https://www.econbiz.de/10005199896