Sequential testing problems for Poisson processes.
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- Bayes Solutions of Sequential Decision Problems
- Bayes and Minimax Solutions of Sequential Decision Problems
- Continuous Sequential Testing of a Poisson Process to Minimize the Bayes Risk
- On the optimality of the sprt for processes with continuous time parameter
- Optimum Character of the Sequential Probability Ratio Test
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- Sequential analysis. Tests and confidence intervals
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- Some remarks on first passage of Lévy processes, the American put and pasting principles
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- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
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- Nonzero-sum games of optimal stopping for Markov processes
- On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
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- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
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- Russian and American put options under exponential phase-type Lévy models.
- Asymptotic properties of the solution to the sequential testing problem on a finite horizon
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- On Neyman-Pearson minimax detection of Poisson process intensity
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- A capped optimal stopping problem for the maximum process
- Multi-dimensional sequential testing and detection
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- Optimal sequential testing for an inverse Gaussian process
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Multisource Bayesian sequential binary hypothesis testing problem
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- Discussion on “Life and Work of Bhaskar Kumar Ghosh” by Pranab Kumar Sen
- Testing for Poisson arrivals in INAR(1) processes
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
- A series expansion formula of the scale matrix with applications in CUSUM analysis
- Perpetual barrier options in jump-diffusion models
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