The expected value of the one-sided cusum stopping time

DOI10.2307/1427723zbMATH Open0760.60054OpenAlexW4231959311MaRDI QIDQ4024528

Wolfgang Stadje

Publication date: 4 February 1993

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427723

zbMATH Keywords

random walk with negative driftexpected value of the stopping time

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stopping times; optimal stopping problems; gambling theory (60G40)

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