Sequential testing problems for Poisson processes.

DOI10.1214/aos/1015952000zbMath1081.62546OpenAlexW2115932243MaRDI QIDQ1848801

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1015952000

zbMATH Keywords

optimal stopping Poisson process Itô's formula Bayes decision rule Sequential testing free-boundary differential-difference Stephan problem measure of jumps and its compensator point (counting)(Cox) process principles of continuous and smooth fit SPRT (sequential probability ratio test)

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Sequential statistical analysis (62L10) Markov processes: hypothesis testing (62M02)

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