Sequential bayesian and minimax decisions based on stochastic processes

DOI10.1080/07474948508836080zbMath0591.62069OpenAlexW1599751362MaRDI QIDQ3719667

Raimund Rhiel

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1080/07474948508836080

zbMATH Keywords

Brownian motionGaussian processessemimartingalesstochastic integralsminimax estimationcontinuous timegamma processsequential decisionMarkovian processescontinuity propertiesnon-decreasing cost functionPoisson process, the negative binomial process

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20) Sample path properties (60G17) Sequential statistical analysis (62L10) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Related Items (2)

Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures ⋮ A general model in risk theory. An application of modern martingale theory. Part one: Theoretic foundations

Cites Work

• Transformation of local martingales under a change of law
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Sequential bayesian and minimax decisions based on stochastic processes