Optimal Stopping Under General Dependence Conditions

Abstract

AbstractLet {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.