A SEQUENTIALLY PLANNED BAYESIAN MULTIPLE DECISION PROBLEM IN CONTINUOUS TIME

DOI10.1081/SQA-120004173zbMath1006.62066MaRDI QIDQ3148283

Markus Roters

Publication date: 30 September 2002

Published in: Sequential Analysis (Search for Journal in Brave)

zbMATH Keywords

Bellman equationmartingalediscrete approximationposterior distributionMarkov propertystationary incrementscontrol variableindependent incrementshomogeneous Markov systemsequentially planned decision procedure

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

Related Items

Principles of Optimal Sequential Planning ⋮ Sequential Plans and Risk Evaluation ⋮ Exponential Boundedness of Control Variables in a Sequentially Planned Bayesian Multiple Decision Problem in Continuous Time ⋮ Locally Most Powerful Sequentially Planned Tests in Continuous Time

Cites Work

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• Optimal Stopping and Experimental Design
• Sequential Probability Ratio Test for the Mean Value Function of a Gaussian Process
• Bayes and Minimax Solutions of Sequential Decision Problems
• Bayes Solutions of Sequential Decision Problems
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation

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