Orderings of optimal stopping values and prophet inequalities for certain multivariate distributions

Yosef Rinott*, Ester Samuel-Cahn

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

Suppose you observe a finite sequence of random variables from some known joint distribution F, you can stop the process at any time and your profit is the last observed value. If an optimal stopping rule is used, denote the expected profit by VF. What kind of ordering on multivariate distributions F and G will guarantee VF≤VG? The comparison depends on two combined aspects: the actual size of the observations and the structure of their dependence. Closely related to these comparisons is the prophet inequality which compares VF to the expectation of the maximum of the sequence which is a prophet's value. We study monotonicity properties of VF and related prophet inequalities in two classes of distributions: one consisting of negatively dependent PF2 variables and the other of samples with partial replacement from a finite population.

Original languageEnglish
Pages (from-to)104-114
Number of pages11
JournalJournal of Multivariate Analysis
Volume37
Issue number1
DOIs
StatePublished - Apr 1991
Externally publishedYes

Keywords

  • negative dependence
  • optimal stopping
  • ordering of random variables
  • PF distributions
  • prophet inequality
  • random replacement schemes

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