The problem of selling a commodity optimally at one of n successive time instants leads to the optimal stopping problem for the finite sequence ((n-j)lSj)1[less-than-or-equals, slant]j[less-than-or-equals, slant]n, where Sj=U1 + ... + Uj, U1, U2,... are i.i.d., E(U1) = 0 and E(U21) = 1. The...

For Wald's SPRT of a simple hypothesis against a simple alternative an upper bound for the differences of the error probabilities and their Wiener process approximations is derived. This upper bound only depends on the first three moments of the log-likelihood ratio and is seen to be especially...