Boundary crossing problems for sample means

DOI10.1214/AOP/1176991909zbMath0642.60018OpenAlexW2019132817MaRDI 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 familystopping timesrenewal equationinvariant probability measureboundary crossing problemssequential decision problemseigenvalue problems of the Perron-Frobenius operatorpiecewise linear mapping

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10) Sequential statistical design (62L05) Optimal stopping in statistics (62L15)

Related Items (7)

ASYMPTOTIC OPTIMALITY OF GENERALIZED SEQUENTIAL LIKELIHOOD RATIO TESTS IN SOME CLASSICAL SEQUENTIAL TESTING PROBLEMS* ⋮ A Modification of schwarz's sequential likelihood ratio tests in multivariate sequential analysis ⋮ Generalized Sequential Probability Ratio Test for Separate Families of Hypotheses ⋮ First passage times for perturbed random walks ⋮ Optimal stopping for Brownian motion with applications to sequential analysis and option pricing ⋮ Boundary crossing probabilities for general exponential families ⋮ Nonasymptotic sequential tests for overlapping hypotheses applied to near-optimal arm identification in bandit models

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