An Optimal Stopping Problem for Sums of Dichotomous Random Variables.

Abstract

A stopping problem for sums of dichotomous random variables is defined. The optimal procedure is determined and the limiting behavior of this procedure is examined. This limiting behavior can be used to relate the solution of a class of continuous time stopping problems involving a Wiener process to the solution of certain discrete time, discrete process, stopping problems. These relations are useful in calculating numerical approximations to the solutions of various stopping problems.

Document Details

Document Type
Technical Report
Publication Date
Oct 30, 1975
Accession Number
ADA017013

Entities

People

  • Albert John Petkau
  • Herman Chernoff

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Contracts
  • Data Science
  • Information Science
  • Mathematics
  • Random Variables
  • Statistics

Fields of Study

  • Mathematics

Readers

  • Statistical inference.