Bayesian sequential testing with expectation constraints

DOI10.1051/cocv/2019045zbMath1451.62089OpenAlexW2901617787WikidataQ127471570 ScholiaQ127471570MaRDI QIDQ5126393

Stefan Ankirchner, Maike Klein

Publication date: 16 October 2020

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/464d340fbf484d1feae8b57d73e8fdd4d4c1107f

zbMATH Keywords

optimal stoppingexpectation constraintBayesian sequential testing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items (1)

Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment

Cites Work

• A verification theorem for optimal stopping problems with expectation constraints
• Stopping with expectation constraints: 3 points suffice
• On a Problem of Sequential Hypothesis Testing
• On a constrained optimal stopping problem
• Sequential Testing of Two Hypotheses for a Stationary Ornstein--Uhlenbeck Process
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