On the Wald's Sequential Probability Ratio Test for Lévy Processes

DOI10.1080/07474946.2013.803799zbMath1319.62169OpenAlexW2020721605MaRDI QIDQ2854353

Pietro Muliere, Bruno Buonaguidi

Publication date: 18 October 2013

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2013.803799

zbMATH Keywords

Lévy processesoptimal stoppingvariational formulationnegative binomial processsequential testingSPRTLévy-Khintchine tripletfixed error probability formulation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (2)

Sequential negative binomial problems and statistical ecology: a selected review with new directions ⋮ Optimal sequential testing for an inverse Gaussian process

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