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On efficient stopping times

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  • Stefanov, Valeri T.

Abstract

This paper is devoted to efficient sequential estimation in stochastic processes whose corresponding sufficient statistics are processes with stationary independent increments. It is proved that a stopping time is efficient if and only if it represents a time of the first attaining of a hyperplane., which cannot 'be passed', in the sense which is made precise below. The problem of determining the explicit form of the hyperplanes which cannot 'be passed' is also discussed.

Suggested Citation

  • Stefanov, Valeri T., 1985. "On efficient stopping times," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 305-314, April.
    • Handle: RePEc:eee:spapps:v:19:y:1985:i:2:p:305-314
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