Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)

Cited In (23)

Overshoot in the Case of Normal Variables: Chernoff's Integral, Latta's Observation, and Wijsman's Sum
A Bayesian sequential test for the drift of a fractional Brownian motion
Bayesian Sequential Composite Hypothesis Testing in Discrete Time
Corrected random walk approximations to free boundary problems in optimal stopping
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
On Chernoff's test for a fractional Brownian motion
On Lerch's transcendent and the Gaussian random walk
Cumulants of the maximum of the Gaussian random walk
Likelihood Ratio Identities and Their Applications to Sequential Analysis
Continuity correction: on the pricing of discrete double barrier options
Bounds for expected maxima of Gaussian processes and their discrete approximations
ASYMPTOTIC OPTIMALITY OF GENERALIZED SEQUENTIAL LIKELIHOOD RATIO TESTS IN SOME CLASSICAL SEQUENTIAL TESTING PROBLEMS*
The SPRT control chart for the process mean with samples starting at fixed times
Bayesian sequential testing of the drift of a Brownian motion
Corrected diffusion theory approximations in evaluating properties of SPRT charts for monitoring a process mean
Local information and the design of sequential hypothesis tests
Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
On the existence of solutions of unbounded optimal stopping problems
Evaluation of asymptotic approximations for a two-stage Bernoulli bandit
Optimal discounted control for a continuous time inventory model
Easily determining which urns are 'favorable'
Ladder heights, Gaussian random walks and the Riemann zeta function

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