Optimally stopping the sample mean of a Wiener process with an unknown drift

DOI10.1016/0304-4149(89)90084-7zbMath0675.60038OpenAlexW2044492746MaRDI QIDQ1122217

Gordon Simons, Yi-Ching Yao

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/3865

zbMATH Keywords

optimal stopping problemone-arm bandit problemoptimal stopping region

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Change-point problems: bibliography and review

Cites Work

• Unnamed Item
• Numerical Solutions for Bayes Sequential Decision Problems
• Explicit Solutions to Some Problems of Optimal Stopping
• Optimal Stopping in a Markov Process
• Regarding stopping rules for Brownian motion and random walks
• A Bayes Sequential Sampling Inspection Plan

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