Embedding submartingales in wiener processes with drift, with applications to sequential analysis
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Publication:5580741
DOI10.2307/3212107zbMath0186.50601OpenAlexW4251948277MaRDI QIDQ5580741
Publication date: 1969
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3212107
Related Items (11)
Randomised sequential probability ratio tests for stochastic processes ⋮ The submartingale assumption in risk theory ⋮ Asymptotic inference for stochastic processes ⋮ Inférence statistique dans les processus stochastiques: Aperçu historique ⋮ Optimal stopping under probability distortion ⋮ A BSDE APPROACH TO THE SKOROKHOD EMBEDDING PROBLEM FOR THE BROWNIAN MOTION WITH DRIFT ⋮ Symmetric representations of bivariate distributions ⋮ A sequential theory of psychological discrimination ⋮ Modeling imageless thought: The relative judgment theory of numerical comparisons ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ Reward Design in Risk-Taking Contests
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