Exact boundaries in sequential testing for phase-type distributions

DOI10.1239/JAP/1417528485zbMath1309.62140arXiv1306.2783OpenAlexW2063274561MaRDI QIDQ5245635

Jevgenijs Ivanovs, Peiman Asadi, Hansjoerg Albrecher

Publication date: 14 April 2015

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

Full work available at URL: https://arxiv.org/abs/1306.2783

zbMATH Keywords

scale functionEsscher transformMarkov additive processsequential probability ratio testtwo-sided exit problem

Mathematics Subject Classification ID

Sequential estimation (62L12)

Related Items (3)

A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ Change-point detection for Lévy processes ⋮ The matrix sequential probability ratio test and multivariate ruin theory

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