On large deviations properties of sequential allocation problems
Apostolos Burnetas, Michael N. Katehakis · Stochastic Analysis and Applications · 1996
Let be r sequences of i.i.d. random variables and the sample mean of an n-size sample, given an adaptive allocation rule . We show that if is finite in a neighborhood of θ= 0, then, for all adaptive rules π,, for all closed sets for all open sets where I(x) and J(x) are rate functions independent of π