# OPTIMAL MULTIVARIATE STOPPING RULES

@article{Assaf1998OPTIMALMS, title={OPTIMAL MULTIVARIATE STOPPING RULES}, author={David Assaf and Ester Samuel-Cahn}, journal={Journal of Applied Probability}, year={1998}, volume={35}, pages={693-706} }

symmetry assumptions we show that the optimal rule is one which (also) maximizes EZt where Zi = 1:=I Xj(i), and hence has a particularly simple structure. Examples are included, and the results are extended both to the infinite horizon case and to the case when X(1), ..., X(n) are dependent. Asymptotic comparisons between the present problem of finding sup h(EX(t)) and the 'classical' problem of finding sup Eh(X(t)) are given. Comparisons between the optimal return to the statistician and to a…

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