A Generalization of Wald's Identity with Applications to Random Walks

DOI10.1214/AOMS/1177705060MaRDI QIDQ3845691zbMATH OpenOpenAlexFDO

Authors H. D. Miller

Publication date 1961

Published in Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoms/1177705060

zbMATH Keywords

probability theory

Cited in

(6)

• A sequential theory of psychological discrimination
• On a fundamental identity for stopping times and its application to risk theory
• THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
• Risk theory in a Markovian environment
• Geometric ergodicity in a class of denumerable Markov chains
• Ecological constraints on the origin of neurones

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