The Annals of Probability

A Control Problem Arising in the Sequential Design of Experiments

S. P. Lalley and G. Lorden

Full-text: Open access

Article information

Source
Ann. Probab., Volume 14, Number 1 (1986), 136-172.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176992620

Digital Object Identifier
doi:10.1214/aop/1176992620

Mathematical Reviews number (MathSciNet)
MR815963

Zentralblatt MATH identifier
0599.60043

JSTOR
links.jstor.org

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 93E20: Optimal stochastic control

Keywords
Controlled random walk first passage problem martingale

Citation

Lalley, S. P.; Lorden, G. A Control Problem Arising in the Sequential Design of Experiments. Ann. Probab. 14 (1986), no. 1, 136--172. doi:10.1214/aop/1176992620. https://projecteuclid.org/euclid.aop/1176992620


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