Limit Theorems for Suprema, Threshold-Stopped Random Variables and Last Exits of i.i.d. Random Variables with Costs and Discounting, with Applications to Optimal Stopping
For linear-cost-adjusted and geometric-discounted infinite sequences of i.i.d. random variables, point process convergence results are proved as the cost or discounting effect diminishes. These process convergence results are combined with continuous-mapping principles to obtain results on joint con...
| Veröffentlicht in: | Advances in Applied Probability. - Applied Probability Trust. - 24(1992), 2, Seite 241-266 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1992
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| Zugriff auf das übergeordnete Werk: | Advances in Applied Probability |
| Schlagworte: | Optimal stopping Maxima of i.i.d. random variables Domains of attraction Last-exit times Extreme-value theory Point processes Poisson random measure Weak convergence Mathematics Applied sciences mehr... |