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. Kennedy, D. P. & Kertz, R. P. Advances in Applied Probability, 24(2):241–266, June, 1992.
Paper doi bibtex @Article{Kennedy:1992:LTS,
author = "Douglas P. Kennedy and Robert P. Kertz",
title = "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",
journal = j-ADV-APPL-PROB,
volume = "24",
number = "2",
pages = "241--266",
month = jun,
year = "1992",
CODEN = "AAPBBD",
DOI = "https://doi.org/10.2307/1427691",
ISSN = "0001-8678 (print), 1475-6064 (electronic)",
ISSN-L = "0001-8678",
bibdate = "Sat May 3 07:42:08 MDT 2014",
bibsource = "http://www.jstor.org/stable/i262294;
http://www.math.utah.edu/pub/tex/bib/advapplprob.bib",
URL = "http://www.jstor.org/stable/1427691",
acknowledgement = ack-nhfb,
ajournal = "Adv. Appl. Probab.",
fjournal = "Advances in Applied Probability",
journal-URL = "http://www.jstor.org/journals/00018678.html",
}
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