Detecting the presence of a random drift in Brownian motion
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Publication:2145816
DOI10.1016/j.spa.2021.05.006zbMath1494.60044OpenAlexW3167211567MaRDI QIDQ2145816
Publication date: 20 June 2022
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2021.05.006
optimal stoppingBrownian motionfree-boundary problemparabolic partial differential equationsequential testingrandom drift
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)
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