Distributional Properties of CUSUM Stopping Times and Stopped Processes

DOI10.1080/07474940902816767zbMath1294.62172OpenAlexW2053918962MaRDI QIDQ3630049

Rasul A. Khan

Publication date: 2 June 2009

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

Full work available at URL: http://www.informaworld.com/smpp/./content~db=all~content=a910709192

zbMATH Keywords

Laplace transformdistributiongenerating functionstochastic processasymptoticstopping timesstationary independent increments

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

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Cites Work

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• A stopped Brownian motion formula
• Exact Determination of the Run Length Distribution of a One-Sided CUSUM Procedure Applied on an Ordinary Poisson Process
• On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures
• Distributional Properties of CUSUM Stopping Times
• On Deviations from the Maximum in a Stochastic Process
• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary
• Some Characteristics of Page's Two-sided Procedure for Detecting a Change in a Location Parameter
• Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses

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