Coin-betting is optimal among e-variable frameworks for mean testing of bounded variables, yielding an explicit characterization of all admissible e-variables and e-processes.
Capacities, Measurable Selection and Dynamic Programming Part I: Abstract Framework
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
We give a brief presentation of the capacity theory and show how it derives naturally a measurable selection theorem following the approach of Dellacherie (1972). Then we present the classical method to prove the dynamic programming of discrete time stochastic control problem, using measurable selection arguments. At last, we propose a continuous time extension, that is an abstract framework for the continuous time dynamic programming principle (DPP).
fields
math.ST 1years
2024 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
On the optimality of coin-betting for mean estimation
Coin-betting is optimal among e-variable frameworks for mean testing of bounded variables, yielding an explicit characterization of all admissible e-variables and e-processes.