The Annals of Mathematical Statistics

A Gambling Theorem and Optimal Stopping Theory

William D. Sudderth

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Abstract

A proof is given for a gambling theorem which was stated by Dubins and Savage. Connections are made with optimal stopping theory and the usual abstract stopping problem is generalized to a situation where stopping is allowed only at certain times along a given path.

Article information

Source
Ann. Math. Statist., Volume 42, Number 5 (1971), 1697-1705.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177693168

Digital Object Identifier
doi:10.1214/aoms/1177693168

Mathematical Reviews number (MathSciNet)
MR402909

Zentralblatt MATH identifier
0239.62051

JSTOR
links.jstor.org

Citation

Sudderth, William D. A Gambling Theorem and Optimal Stopping Theory. Ann. Math. Statist. 42 (1971), no. 5, 1697--1705. doi:10.1214/aoms/1177693168. https://projecteuclid.org/euclid.aoms/1177693168


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