Variational Inequalities in Sequential Analysis

DOI10.1137/0512034zbMath0462.62067OpenAlexW2057865149MaRDI QIDQ3911902

Avner Friedman

Publication date: 1981

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0512034

zbMATH Keywords

Kalman-Bucy filteringcomposite hypotheses casem- simple hypotheses casenon-Markovian cost

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (1)

Corrected random walk approximations to free boundary problems in optimal stopping

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