The Wiener Sequential Testing Problem with Finite Horizon
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Publication:4470150
DOI10.1080/10451120410001663753zbMath1054.62087MaRDI QIDQ4470150
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
Wiener process; Optimal stopping; Finite horizon; Sequential testing; Curved boundary; Local time-space calculus; Non-linear volterra integral equations; Parabolic free-boundary problem
62F15: Bayesian inference
35R35: Free boundary problems for PDEs
62L10: Sequential statistical analysis
45G15: Systems of nonlinear integral equations
62L15: Optimal stopping in statistics
62M02: Markov processes: hypothesis testing
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