Optimal real-time detection of a drifting Brownian coordinate

DOI10.1214/19-AAP1522zbMath1476.60078arXiv1812.07163OpenAlexW2968167751MaRDI QIDQ2657903

Philip A. Ernst, Quan Zhou, Goran Peskir

Publication date: 18 March 2021

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

Full work available at URL: https://arxiv.org/abs/1812.07163

zbMATH Keywords

optimal stoppingBrownian motionfree-boundary problemsmooth fitelliptic partial differential equationsequential testingnonlinear Fredholm integral equationoptimal detectionthe change-of-variable formula with local time on surfacesnon-monotone boundary

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Second-order elliptic equations (35J15)

Related Items (6)

Detecting the presence of a random drift in Brownian motion ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ Multi-dimensional sequential testing and detection ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ An optimal sequential procedure for determining the drift of a Brownian motion among three values

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