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

DOI10.1016/J.SPA.2023.02.001OpenAlexW4319759439MaRDI QIDQ2698484FDOQ2698484

Authors: Bruno Buonaguidi 

Publication date: 24 April 2023

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

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

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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)

• 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
• An Optimal Stopping Problem Arising from a Decision Model with Many Agents

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