Accession Number : ADA140911

Title :   Comments on a Problem of Chernoff and Petkau.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s) : Hogan,M L

PDF Url : ADA140911

Report Date : May 1984

Pagination or Media Count : 11

Abstract : A new method is used to study the optimal stopping set corrected for discreteness introduced by Chernoff and studied by Chernoff and Petkau. The discrete boundary is asymptotically the optimal boundary for a Wiener process translated downward by a constant amount. This amount is shown to be an excess over the boundary term, and this method yields it as a simple integral involving the characteristic function of the random walk. (Author)

Descriptors :   *Numerical methods and procedures, *Boundaries, Stopping rules(Mathematics), Optimization, Diffusion, Random variables

Subject Categories : Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE