What do you think is the best textbook on optimal stopping theory for someone on a late-stage-undergraduate level? The ones I've found online are Chow (1971) and Shiryaev & Aries (2007), and I suspect that Chow is the classic one. Any help would be highly appreciated! Thanks.
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Have you looked at K L Chung's A Course in Probability Theory? – Kavi Rama Murthy Mar 29 '22 at 12:02
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@KaviRamaMurthy No, I have not. Should I? Is it a prerequisite for optimal stopping theory? – GrueEmerald Mar 29 '22 at 12:07
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It is one of the best books on Measure Theoretic Probability and it does discuss Optional sampling, Martingales etc. – Kavi Rama Murthy Mar 29 '22 at 12:14