Prophet inequalities for products of non–negative random variables
作者:
Martin L. Jones,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1994)
卷期:
Volume 12,
issue 2
页码: 205-223
ISSN:0736-2994
年代: 1994
DOI:10.1080/07362999408809347
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
Stopping time and supremum comparisons known as “Prophet inequalities” are made for products of finite sequences of non–negative integrable random variables under various restrictions on the class of distributions governing these random variables. for example it is shown that for X0= constant > 0, andnon-nagative integrable random variables, that the expected maximum of the product variables, that the expected maximum of the product sequenceis no more that n+1 times the value of the product sequence when stopped by non-anticipating stopping times
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