Exponential Boundedness of Control Variables in a Sequentially Planned Bayesian Multiple Decision Problem in Continuous Time

• Published in: Sequential analysis Vol. 22; no. 4; pp. 347 - 358
• Main Author: Roters, Markus
• Format: Journal Article
• Language: English
• Published: Taylor & Francis Group 31.12.2003
• Subjects: AMS 1991 Subject Classification: Primary 62C10; Bayes procedure; Control variable; Martingale; Posterior distribution; Secondary 60G40; Termination properties

In this article we study the exponential boundedness properties of certain specifically structured control variables in a finite sequentially planned Bayesian multiple decision problem in continuous time investigated by Roters (Roters, M. A sequentially planned Bayesian multiple decision problem in...