Geodesic
Optimal Stopping Under General Dependence Conditions
Canadian mathematical bulletin, Tome 26 (1983) no. 3, pp. 260-266

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DOI

Let {Xn} be a sequence of random variables, not necessarily independent or identically distributed, put and Mn =max0≤k≤n|Sk|. Effective bounds on in terms of assumed bounds on , are used to identify conditions under which an extended-valued stopping time τ exists. That is these inequalities are used to guarantee the existence of the stopping time τ such that E(ST/aτ) = supt ∈ T∞ E(|Sτ|/at), where T∞ denotes the class of randomized extended-valued stopping times based on S1, S2, ... and {an} is a sequence of constants. Specific applications to stochastic processes of the time series type are considered.
DOI : 10.4153/CMB-1983-041-5
Mots-clés : 60G40, 62L15 
Longnecker, M. Optimal Stopping Under General Dependence Conditions. Canadian mathematical bulletin, Tome 26 (1983) no. 3, pp. 260-266. doi: 10.4153/CMB-1983-041-5
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     title = {Optimal {Stopping} {Under} {General} {Dependence} {Conditions}},
     journal = {Canadian mathematical bulletin},
     pages = {260--266},
     year = {1983},
     volume = {26},
     number = {3},
     doi = {10.4153/CMB-1983-041-5},
     url = {http://geodesic.mathdoc.fr/articles/10.4153/CMB-1983-041-5/}
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