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Optimally stopping the sample mean of a wiener process with an unknown drift

โœ Scribed by Gordon Simons; Yi-Ching Yao

Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
469 KB
Volume
32
Category
Article
ISSN
0304-4149

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๐Ÿ“œ SIMILAR VOLUMES

Asymptotic behavior of the stationary di
Asymptotic behavior of the stationary distribution in a finite QBD process with zero mean drift
โœ Bara Kim; Jeongsim Kim; Jisu Lee ๐Ÿ“‚ Article ๐Ÿ“… 2008 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 161 KB

We consider a finite QBD process with m levels. Assuming that the mean drift is 0, we obtain an asymptotic behavior (m) m โˆผ (1/m)c as m โ†’ โˆž in the stationary distribution ( (m) 0 , . . . , (m) m ), by finding an explicit expression for vector c. This solves the problem that was conjectured by Miyaza