In the sequential design of experiments an experimenter performs experiments sequentially to make an eventual inference about the true state of nature. A Bayesian formulation of this problem is considered. The parameter space is assumed finite and there are a finite number of repeatable experiments. Sufficient conditions are given for a procedure to be second order efficient as the sampling costs approach zero. The asymptotic analysis of a related Markov control problem is also presented.
"Second Order Efficiency in the Sequential Design of Experiments." Ann. Statist. 12 (2) 510 - 532, June, 1984. https://doi.org/10.1214/aos/1176346503