Variational Inequalities in Sequential Analysis

DOI10.1137/0512034MaRDI QIDQ3911902zbMATH OpenOpenAlexFDO

Authors A. Friedman

Publication date 1981

Published in SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0512034

zbMATH Keywords

composite hypotheses caseKalman-Bucy filteringm- simple hypotheses casenon-Markovian cost

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Inference from stochastic processes and prediction (62M20)

Cited in

(1)

• Corrected random walk approximations to free boundary problems in optimal stopping

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