Ranking Experiments under Sequential Sampling
We compare statistical experiments when observations are inexpensive and can be acquired sequentially until the decision maker chooses to stop. We introduce two orders. Small-cost decision dominance asks which of two equally priced experiments is eventually preferred in every decision problem as the per-observation cost vanishes; large-budget stopping dominance asks which experiment can reproduce every terminal experiment attainable from the other under all sufficiently large expected-sample budgets. Our main result shows that, for generic pairs, the two orders coincide and are both characterized by strict dominance of every pairwise Kullback--Leibler divergence. The key step is a uniform exact-conversion theorem: any finite-output stopping policy based on one experiment can be reproduced exactly using another, with first-order expected-sample requirements determined by pairwise KL rates and a square-root remainder that is uniform over policies.