On Chernoff's Hypotheses Testing Problem for the Drift of a Brownian Motion

DOI10.1137/S0040585X97986266zbMath1396.62185OpenAlexW1994779037MaRDI QIDQ2874150

Mikhail Zhitlukhin, Alexey Muravlev

Publication date: 28 January 2014

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986266

zbMATH Keywords

integral equationsoptimal stopping problemChernoff's problemsequential hypotheses testing

Mathematics Subject Classification ID

Brownian motion (60J65) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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