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September, 1987 A Note on the Buyer's Problem
Ashim K. Mallik
Ann. Statist. 15(3): 1329-1331 (September, 1987). DOI: 10.1214/aos/1176350510

Abstract

Bather considered a buyer's problem and reduced it to an optimal stopping problem. In this note it is shown that this optimal stopping problem can be related to the sequential testing of the sign of the drift parameter of a Wiener process problem considered by Chernoff. Hence the asymptotic expansions for the sequential testing problem can be used in the buyer's problem.

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Ashim K. Mallik. "A Note on the Buyer's Problem." Ann. Statist. 15 (3) 1329 - 1331, September, 1987. https://doi.org/10.1214/aos/1176350510

Information

Published: September, 1987
First available in Project Euclid: 12 April 2007

zbMATH: 0654.62072
MathSciNet: MR902263
Digital Object Identifier: 10.1214/aos/1176350510

Subjects:
Primary: 62L10

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.15 • No. 3 • September, 1987
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