An optimal sequential procedure for determining the drift of a Brownian motion among three values

DOI10.1016/J.SPA.2023.02.001MaRDI QIDQ2698484zbMATH OpenOpenAlexFDO

Authors Bruno Buonaguidi

Publication date 24 April 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.spa.2023.02.001

zbMATH Keywords

sequential analysisBrownian motionfree-boundary problemoptimal stoppingnon-monotone boundaryBayesian formulation

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(4)

• An Optimal Stopping Problem Arising from a Decision Model with Many Agents
• Sequential tracking of an unobservable two-state Markov process under Brownian noise
• Detecting the presence of a random drift in Brownian motion
• Optimal real-time detection of a drifting Brownian coordinate

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