Comments on a problem of Chernoff and Petkau (Q1111237): Difference between revisions
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Revision as of 19:36, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Comments on a problem of Chernoff and Petkau |
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Comments on a problem of Chernoff and Petkau (English)
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1986
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A new method is used to study the optimal stopping set corrected for discreteness introduced by \textit{H. Chernoff} [Ann. Math. Statistics 36, 55-68 (1965; Zbl 0246.62084)] and studied by \textit{H. Chernoff} and \textit{A. J. Petkau} [Ann. Probab. 4, 875-889 (1976; Zbl 0347.62064)]. The discrete boundary is asymptotically the optimal boundary for a Wiener process translated downward by a constant amount. This amount is shown to be an ``excess over the boundary'' term, and this method yields it as a simple integral involving the characteristic function of the random walk.
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corrected diffusion approximation
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optimal stopping set
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discrete boundary
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optimal boundary
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Wiener process
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excess over the boundary
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