Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures

DOI10.1080/07474948608836107zbMath0611.60040OpenAlexW1985640286MaRDI QIDQ3750725

Raimund Rhiel

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/07474948608836107

zbMATH Keywords

supermartingalesDoob-Meyer decompositionIto formulalocal martingalesoptimal stopping problemBayesian sequential decision problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Cites Work

• Dynkin's identity applied to Bayes sequential estimation of a Poisson process rate
• Explicit formula of optimal replacement under additive shock processes
• A Bayesian approach to a problem in sequential estimation
• Sequential bayesian and minimax decisions based on stochastic processes
• Bayesian Sequential Estimation for One-Parameter Exponential Families
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