The expected value of the one-sided cusum stopping time

Authors
Stadje, Wolfgang
Citation
Stadje, Wolfgang, The expected value of the one-sided cusum stopping time, Advances in applied probability , 24(4), 1992, pp. 1008-1009
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
24
Issue
4
Year of publication
1992
Pages
1008 - 1009
Database
ACNP
SICI code
Abstract
We derive an asymptotic relation for the expected value of the stopping time, https://static.cambridge.org/binary/version/id/urn:cambridge.org:id:bina ry:20180209072601687-0126:S0001867800025052:S0001867800025052_inline1.gi f?pub-status=live , where Sk is a random walk with negative drift.