Let Xn for n[ges ]1 be independent
random variables with EXn=0 and
EX2n=1. Set
Sk,n=
[sum ]i1<…<ik[les ]nXi1…Xik.
Define Tk,c,m=
inf{n[ges ]m[ratio ][mid ]k!Sk,n[mid ]
>cnk/2}. We study critical values
ck,p for k[ges ]2 and p>0,
such that
ETpk,c,m<∞ for
c<ck,p and all m, and
ETpk,c,m=∞ for
c>ck,p and all
sufficiently large m. In particular,
c1,1=c2,1=1, c3,1=2
and
c4,1=3 under certain moment conditions on
X1, when Xn are identically
distributed. We also investigate perturbed stopping rules of the form
Th,m=inf{n[ges ]m[ratio ]
h(S1,n/n1/2)
<ζn or >ζn}
for continuous functions h and random variables
ζn∼a and ζn∼b
with a<b. Related stopping rules of the Wiener process
are
also considered via the Uhlenbeck process.