Exact boundaries in sequential testing for phase-type distributions
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Publication:5245635
DOI10.1239/jap/1417528485zbMath1309.62140arXiv1306.2783OpenAlexW2063274561MaRDI QIDQ5245635
Jevgenijs Ivanovs, Peiman Asadi, Hansjoerg Albrecher
Publication date: 14 April 2015
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.2783
scale functionEsscher transformMarkov additive processsequential probability ratio testtwo-sided exit problem
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Cites Work
- Occupation densities in solving exit problems for Markov additive processes and their reflections
- Mathematical fun with ruin theory
- A simple solution for the M/D/c waiting time distribution
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- On the Uniqueness of Wald Sequential Tests
- Sequential testing for exponential and pareto distributions
- Existence, Uniqueness and Monotonicity of Sequential Probability Ratio Tests
- A Monotonicity Property of the Sequential Probability Ratio Test
- Optimum Character of the Sequential Probability Ratio Test
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