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A nonlinear parking problem

 

作者: Robert Keener,   Hans Rudolf Lerche,   Michael Woodroofe,  

 

期刊: Sequential Analysis  （Taylor Available online 1995）
卷期: Volume 14, issue 3  

页码: 247-272

 

ISSN:0747-4946

 

年代: 1995

 

DOI:10.1080/07474949508836335

 

出版商: Marcel Dekker, Inc.

 

关键词: Convex functions;perturbed random walk;renewal theorem;stopping time

 

数据来源: Taylor

 

摘要:

The problem of minimizing Egc(Zt) is considered asymptotically, where Z0,Z1,… is a perturbed random walk and gcare convex functions which are minimized at values that approach ∞ as c ↓ 0. It is shown that a first passage time is asymptotically optimal, and the boundary for this time is characterized in terms of gcand the limiting distribution of the excess over the boundary. Applications to change point problems and power one tests are presented.

 

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