Bayesian sequential testing for Lévy processes with diffusion and jump components
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Publication:2833717
free boundary problemoptimal stoppingsmooth fit principlejump componentsBayesian sequential testingdiffusion componentsLévy processes
Processes with independent increments; Lévy processes (60G51) Sequential statistical analysis (62L10) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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Cited in
(8)- A Bayesian sequential testing problem of three hypotheses for Brownian motion
- On the Wald's sequential probability ratio test for Lévy processes
- Sequential testing problems for Lévy processes
- Two-sided optimal stopping for Lévy processes
- Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
- Sequential hypothesis testing in machine learning, and crude oil price jump size detection
- A collocation method for the sequential testing of a gamma process
- Testing the characteristics of a Lévy process
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