Quickest search over Brownian channels

DOI10.1080/17442508.2013.819874zbMath1322.60043arXiv1201.1662OpenAlexW2963558223MaRDI QIDQ2875278

Erhan Bayraktar, Ross Kravitz

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1662

zbMATH Keywords

optimal stoppingoptimal switchingBrownian motionsreflected diffusionBayesian quickest search

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (2)

Optimal real-time detection of a drifting Brownian coordinate ⋮ When is it best to follow the leader?

Cites Work

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• Functional convergence of Snell envelopes: Applications to American options approximations
• Optimal Multiple Stopping of Linear Diffusions
• Quickest Detection
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• Quickest Search Over Multiple Sequences
• Quickest Detection of a Minimum of Two Poisson Disorder Times
• Sequential multi-hypothesis testing for compound Poisson processes
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Continuous sequential decision in the presence of a finite number of hypotheses
• Sequential Tests of Statistical Hypotheses

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