Sequential confidence intervals for the mean with $\beta$-protection in a certain parameter space

Let ${X_n : n=1,2,\cdots}$ be iid random variables with distribution $P_{\theta}, \theta \in H$ where $H$ is some abstract parameter space. We consider a sequential confidence interval I for the mean $\mu = \mu(\theta)$ of $P_{\theta}$ satisfying $P_{\theta}(\mu \in I) \geq 1-\alpha$ and $P_{\theta}(\mu-\delta(\mu) \in I) \leq \beta$ for all $\theta \in H$ for any given an imprecision real valued function $\delta(\mu) > 0$ and error probabilities $0 < \alpha, \beta < 1$. A one-sided sequential confidence interval is constructed under some restriction of the family {P_{\theta} : \theta \in H}$ and the imprecision function $\delta$. This is extended to the two-sided cases.