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A note on the buyer’s problem. (English) Zbl 0654.62072
Summary: J. Bather [Recent advances in statistics, Pap. in Honor of H. Chernoff, 19-49 (1983; Zbl 0522.62066)] considered a buyer’s problem and reduced it to an optimal stopping problem. In this note it is shown that this optimal stopping problem can be related to the sequential testing of the sign of the drift parameter of a Wiener process problem considered by H. Chernoff [Sequential analysis and optimal design. (1972; Zbl 0265.62024)]. Hence the asymptotic expansions for the sequential testing problem can be used in the buyer’s problem.
MSC:
62L10 Sequential statistical analysis
62L15 Optimal stopping in statistics
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