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International conference "Stochastic Optimization and Optimal Stopping"
September 27, 2012 11:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


From sequential analysis to optimal stopping — revisited

Hans Rudolf Lerche

Universität Freiburg, Germany

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Hans Rudolf Lerche
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Abstract: The solution of the problem of optimality of Wald's sequential probability ratio test was the starting point of the theory of optimal stopping. We describe a connection between sequential testing, sequential change-point detection and optimal stopping, emphazising a structure of Bayes risks, which allows to find optimal stopping times in a simple way. We show that these facts lead also to a new approach to treat many optimal stopping problems.

Language: English

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