A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems

References

• Chow , Y.S. and Robbins , H. 1961 . A martingale system theory and applications . Proc. Fourth Berkeley Sympos. Math. Statist. Probab., Univ. Calif. , 1 : 93 – 104 .
   Google Scholar
• Chow , Y.S. and Robbins , H. 1963 . On optimal stopping rules . Z. Wahrscheinlichkeitstheorie verw., Gebiete , 2 : 33 – 49 .
   Google Scholar
• Chow , Y.S. , Robbins , H. and Siegmund , D. 1971 . Great Expectations , New York : Houghton Mifflin .
   Google Scholar
• Irle , A. 1980 . On best choice problems with random population size . Zeitschrift für Oper. Research , A24 : 177 – 190 .
   Google Scholar
• Irle , A. 1979 . Monotone stopping problems aad continuous time processes . Z. Wahrscheinlichkeitstheorie verw., Gebiete , 48 : 49 – 55 .
   Web of Science ®Google Scholar
• Nevew , J. 1975 . Discrete-Parameter Martingales , Amsterdam : North-Holland .
   Google Scholar
• Sirjaev , A.N. 1973 . Statistical sequential Analysis , Translations of Mathematical Monographs Vol. 38 , Providence , Rhode Island : American Mathematical Society .
   Google Scholar