Sequential testing problems for Poisson processes.

DOI10.1214/AOS/1015952000zbMATH Open1081.62546OpenAlexW2115932243MaRDI QIDQ1848801FDOQ1848801

Authors: Goran Peskir, Albert N. Shiryaev 

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

Recommendations

• Sequential testing problems for Lévy processes
• Sequential testing of simple hypotheses about compound Poisson processes
• On the sequential testing problem for some diffusion processes
• scientific article; zbMATH DE number 932627

zbMATH Keywords

Poisson processoptimal stoppingBayes decision ruleSequential testingfree-boundary differential-difference Stephan problemmeasure of jumps and its compensatorpoint (counting)(Cox) processprinciples of continuous and smooth fitSPRT (sequential probability ratio test)Itô's formula

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Sequential analysis. Tests and confidence intervals
• Title not available (Why is that?)
• Optimum Character of the Sequential Probability Ratio Test
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayes and Minimax Solutions of Sequential Decision Problems
• On the optimality of the sprt for processes with continuous time parameter
• Sequential Decision Problems for Processes with Continuous Time Parameter Problems of Estimation
• Title not available (Why is that?)
• Continuous Sequential Testing of a Poisson Process to Minimize the Bayes Risk
• Bayes Solutions of Sequential Decision Problems

Cited In (47)

• On the problems of sequential statistical inference for Wiener processes with delayed observations
• On the Wald's Sequential Probability Ratio Test for Lévy Processes
• A quickest detection problem with an observation cost
• Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution
• Bayesian Sequential Composite Hypothesis Testing in Discrete Time
• Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Sequential testing problems for Lévy processes
• A maximized sequential probability ratio test for drug and vaccine safety surveillance
• Optimal stopping problems for the maximum process with upper and lower caps
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Bottleneck options
• Sequential multi-hypothesis testing for compound Poisson processes
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary
• Sequential testing of simple hypotheses about compound Poisson processes
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models
• Nonzero-sum games of optimal stopping for Markov processes
• The integral option in a model with jumps
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Russian and American put options under exponential phase-type Lévy models.
• A note on pasting conditions for the American perpetual optimal stopping problem
• On infinite horizon optimal stopping of general random walk
• Sequential testing of a Wiener process with costly observations
• Sequential tracking of a hidden Markov chain using point process observations
• Group sequential testing under instrumented difference-in-differences approach
• On some functionals of the first passage times in jump models of stochastic volatility
• Precautionary measures for credit risk management in jump models
• American step-up and step-down default swaps under Lévy models
• A capped optimal stopping problem for the maximum process
• Multi-dimensional sequential testing and detection
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• The Wiener Sequential Testing Problem with Finite Horizon
• A continuous-time sequential testing problem
• 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
• Discussion on “Life and Work of Bhaskar Kumar Ghosh” by Pranab Kumar Sen
• From Disorder Detection to Optimal Stopping and Mathematical Finance
• Testing for Poisson arrivals in INAR(1) processes
• 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
• Detecting changes in real-time data: a user’s guide to optimal detection
• Perpetual barrier options in jump-diffusion models
• On the single-leg airline revenue management problem in continuous time
• On the sequential testing problem for some diffusion processes

This page was built for publication: Sequential testing problems for Poisson processes.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1848801)