Average delay time asymptotics in the generalized Bayesian Lévy disorder problem

DOI10.1070/RM2009V064N01ABEH004606MaRDI QIDQ3497600zbMATH OpenOpenAlexWikidataFDO

Authors F. A. Ustinov

Publication date 27 July 2009

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm2009v064n01abeh004606

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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(3)

• The optimal stopping problem concerned with ultimate maximum of a Lévy process
• Unbiased shifts of Brownian motion
• Convergence of values in optimal stopping and convergence of optimal stopping times

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