Asymptotic Solution of the Kiefer–Weiss Problem for Processes with Independent Increments

DOI10.1137/1132094zbMath0716.62076OpenAlexW2094983343MaRDI QIDQ3203879

Vladimir Dragalin, Alexander Novikov

Publication date: 1987

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1132094

zbMATH Keywords

asymptotic solutionWald testexponential familysequential probability ratio testKiefer-Weiss problemcontinuous-time casedouble sequential probability ratio testmodified Kiefer-Weiss problemprocess with independent homogeneous increments

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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