On the moments of some first passage times and the associated processes

DOI10.1080/17442508608833425zbMath0608.60046OpenAlexW2077997485MaRDI QIDQ3747429

Valeri T. Stefanov

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833425

zbMATH Keywords

processes with stationary independent incrementsefficient sequential estimationexponential form of the likelihood functionrandom-time transformations

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential estimation (62L12) Markov processes (60J99)

Related Items (2)

Exponential families of stochastic processes and Lévy processes ⋮ Minimax sequential estimation plans for exponential-type processes

Cites Work

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• On efficient stopping times
• On the moments and limit distributions of some first passage times
• Unbiased Sequential Estimation for Binomial Populations
• On a.s. and r-mean convergence of random processes with an application to first passage times
• Moments of Randomly Stopped Sums
• On Wald's equations in continuous time

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