Markov stopping sets and stochastic integrals. Application in sequential estimation for a random diffusion field (Q1825571): Difference between revisions

The author considers the problem of sequentially estimating the drift coefficient of some diffusion random field. He obtains sequential plans with certain optimality properties. These results are based on theorems which carry over well-known formulas on stochastic integration and stopping times to the case of Wiener random fields. Similar results were obtained by \textit{M. Sørensen} [Int. Stat. Rev. 54, 191-210 (1986; Zbl 0604.62074)] and \textit{V. T. Stefanov} [Ann. Stat. 14, 1606-1611 (1986; Zbl 0617.62087)] under the additional assumption that the models under considerations possess an exponential structure.