Boundary crossing problems for sample means

DOI10.1214/aop/1176991909zbMath0642.60018MaRDI QIDQ1101766

Tze Leung Lai

Publication date: 1988

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176991909

zbMATH Keywords

exponential family; stopping times; renewal equation; invariant probability measure; boundary crossing problems; sequential decision problems; eigenvalue problems of the Perron-Frobenius operator; piecewise linear mapping

Mathematics Subject Classification ID

60G50: Sums of independent random variables; random walks

60G40: Stopping times; optimal stopping problems; gambling theory

60F10: Large deviations

62L05: Sequential statistical design

62L15: Optimal stopping in statistics

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