Major topics covered in Sequential Stochastic Optimization include:
- Fundamental notions, such as essential supremum, stopping points, accessibility, martingales and supermartingales indexed by INd
- Conditions which ensure the integrability of certain suprema of partial sums of arrays of independent random variables
- The general theory of optimal stopping for processes indexed by Ind
- Structural properties of information flows
- Sequential sampling and the theory of optimal sequential control
- Multi–armed bandits, Markov chains and optimal switching between random walks
Sums of Independent Random Variables.
Reduction to a Single Dimension.
Accessibility and Filtration Structure.
Optimal Sequential Control.
The Markovian Case.
Optimal Switching Between Two Random Walks.