The effect of truncation on a sequential test for the drift of brownian motion

DOI10.1080/07474948908836175zbMath0678.62073OpenAlexW2074709270MaRDI QIDQ3834903

Herman Chernoff, John Bather, A. John Petkau

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1080/07474948908836175

zbMATH Keywords

free boundary problemBrownian motionasymptotic expansionsrepeated significance testsparabolic boundaryinner bounds on the optimal stopping boundarysign of a normal meantruncated test

Mathematics Subject Classification ID

Heat equation (35K05) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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