Bayesian sequential testing with expectation constraints

DOI10.1051/COCV/2019045MaRDI QIDQ5126393zbMATH OpenOpenAlexWikidataFDO

Authors Stefan Ankirchner, Maike Klein

Publication date 16 October 2020

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/464d340fbf484d1feae8b57d73e8fdd4d4c1107f

zbMATH Keywords

Bayesian sequential testingexpectation constraintoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cites work

• A verification theorem for optimal stopping problems with expectation constraints
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• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
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• On a constrained optimal stopping problem
• On a Problem of Sequential Hypothesis Testing
• Sequential testing of two hypotheses for a stationary Ornstein-Uhlenbeck process
• Stopping with expectation constraints: 3 points suffice

Cited in

(7)

• The shape of Bayes tests of power one
• An innovative Bayesian sequential censored sampling inspection method and application to test design
• Bayesian sequential testing for Lévy processes with diffusion and jump components
• A Bayesian sequential testing problem of three hypotheses for Brownian motion
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• Bayesian testing of agreement criteria under order constraints
• Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment

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