First exit time of a random walk from the bounds \(f(n)\pm cg(n)\), with applications

DOI10.1214/aop/1176994990zbMath0413.60043OpenAlexW1989339051MaRDI QIDQ598701

Tze Leung Lai, Robert A. Wijsman

Publication date: 1979

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176994990

zbMATH Keywords

random walkfirst exit timesd-dimensional random walkexponential boundednessSavage-Sethuraman sequential rank-order test

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Asymptotic properties of parametric tests (62F05)

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