A Bayesian sequential testing problem of three hypotheses for Brownian motion

DOI10.1524/STND.2011.1109MaRDI QIDQ3104432zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev, M. V. Zhitlukhin

Publication date 19 December 2011

Published in Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2011.1109

zbMATH Keywords

Brownian motionlocal timeoptimal stopping problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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Cites work

• A change-of-variable formula with local time on curves
• On a comparison theorem for solutions of stochastic differential equations and its applications

Cited in

(23)

• The shape of Bayes tests of power one
• Multisource Bayesian sequential binary hypothesis testing problem
• Detecting the presence of a random drift in Brownian motion
• Optimal real-time detection of a drifting Brownian coordinate
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Asymptotic design of symmetric triangular tests for the drift of brownian motion
• LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR
• Bayesian sequential testing of the drift of a Brownian motion
• Optimal sequential testing for an inverse Gaussian process
• On the Wald's sequential probability ratio test for Lévy processes
• On Chernoff's hypotheses testing problem for the drift of a Brownian motion
• A Method for Designing Three-Hypothesis Test Problems and Sequential Schemes
• Bayesian problems of sequential discrimination between hypotheses for continuous random processes
• Detecting changes in real-time data: a user's guide to optimal detection
• Sequential testing problems for Bessel processes
• Bayesian sequential testing problem for a Brownian bridge
• Sequential testing of a Wiener process with costly observations
• Bayesian sequential composite hypothesis testing in discrete time
• Multi-dimensional sequential testing and detection
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• The minimax Wiener sequential testing problem
• Grab it before it's gone: testing uncertain rewards under a stochastic deadline
• Optimal sequentially planned hypothesis tests for stochastic processes with stationary and independent increments

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