An optimal stopping problem for sums of dichotomous random variables

DOI10.1214/AOP/1176995933MaRDI QIDQ1234148zbMATH OpenOpenAlexFDO

Authors Herman Chernoff, A. John Petkau

Publication date 1976

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

Full work available at URL https://doi.org/10.1214/aop/1176995933

Mathematics Subject Classification ID

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

Cited in

(4)

• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Evaluation of asymptotic approximations for a two-stage Bernoulli bandit
• Easily determining which urns are 'favorable'
• Corrected random walk approximations to free boundary problems in optimal stopping

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