The Wiener Sequential Testing Problem with Finite Horizon

DOI10.1080/10451120410001663753MaRDI QIDQ4470150zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Goran Peskir

Publication date 22 June 2004

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120410001663753

zbMATH Keywords

Curved boundaryFinite horizonLocal time-space calculusNon-linear volterra integral equationsOptimal stoppingParabolic free-boundary problemSequential testingWiener process

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Systems of nonlinear integral equations (45G15) Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Recommendations

• Asymptotic properties of the solution to the sequential testing problem on a finite horizon
• Bayesian sequential testing problem for a Brownian bridge
• On the sequential testing problem for some diffusion processes
• Sequential testing problems for Poisson processes.
• Sequential testing of a Wiener process with costly observations

Cited in

(31)

• Sequential variational testing hypotheses on the Wiener process under delayed observations
• Multisource Bayesian sequential binary hypothesis testing problem
• Analysis of an optimal stopping problem arising from hedge fund investing
• Detecting the presence of a random drift in Brownian motion
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Optimal real-time detection of a drifting Brownian coordinate
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Bayesian sequential testing of the drift of a Brownian motion
• Optimal sequential testing for an inverse Gaussian process
• On the Wald's sequential probability ratio test for Lévy processes
• On one problem of hypothesis testing
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• An iterative procedure for solving integral equations related to optimal stopping problems
• On the sequential testing problem for some diffusion processes
• Detection of disorder before an observable event
• Asymptotic properties of the solution to the sequential testing problem on a finite horizon
• Detecting changes in real-time data: a user's guide to optimal detection
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• Sequential testing problems for Bessel processes
• Bayesian sequential testing problem for a Brownian bridge
• Sequential testing of a Wiener process with costly observations
• scientific article; zbMATH DE number 892102 (Why is no real title available?)
• Sequential testing problems for Lévy processes
• Bayesian sequential composite hypothesis testing in discrete time
• Discounted optimal stopping problems in continuous hidden Markov models
• American strangle options
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• GAME CALL OPTIONS REVISITED
• The minimax Wiener sequential testing problem
• Sequential testing of hypotheses about drift for Gaussian diffusions
• The Wiener disorder problem with finite horizon

This page was built for publication: The Wiener Sequential Testing Problem with Finite Horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4470150)