A Bayesian sequential testing problem of three hypotheses for Brownian motion

DOI10.1524/stnd.2011.1109zbMath1228.62101MaRDI QIDQ3104432

Albert N. Shiryaev, Mikhail Zhitlukhin

Publication date: 19 December 2011

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2011.1109

zbMATH Keywords

Brownian motion; local time; optimal stopping problem

Mathematics Subject Classification ID

62F15: Bayesian inference

62L10: Sequential statistical analysis

62L15: Optimal stopping in statistics

62M02: Markov processes: hypothesis testing

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Cites Work

• On a comparison theorem for solutions of stochastic differential equations and its applications
• A change-of-variable formula with local time on curves