Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis

zbMath0604.62075MaRDI QIDQ1083162

Publication date: 1986

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

uniform convergence Wiener process law of the iterated logarithm method of images upper and lower bounds boundary crossing sequential sampling standard Brownian motion normal prior normal population repeated significance test unknown mean tangent approximation known variance standard normal density stopping bounds

Mathematics Subject Classification ID

Brownian motion (60J65) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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