The Wiener Sequential Testing Problem with Finite Horizon

DOI10.1080/10451120410001663753zbMATH Open1054.62087OpenAlexW2062319635MaRDI QIDQ4470150FDOQ4470150

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

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zbMATH Keywords

Wiener processOptimal stoppingFinite horizonSequential testingCurved boundaryLocal time-space calculusNon-linear volterra integral equationsParabolic free-boundary problem

Mathematics Subject Classification ID

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

Cited In (31)

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• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Bayesian sequential testing problem for a Brownian bridge
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• Sequential testing problems for Lévy processes
• On the Wald's sequential probability ratio test for Lévy processes
• The Wiener disorder problem with finite horizon
• Parameter estimation: the proper way to use Bayesian posterior processes with Brownian noise
• Analysis of an optimal stopping problem arising from hedge fund investing
• On one problem of hypothesis testing
• Sequential testing of hypotheses about drift for Gaussian diffusions
• GAME CALL OPTIONS REVISITED
• Bayesian sequential testing of the drift of a Brownian motion
• 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
• Detecting the presence of a random drift in Brownian motion
• Bayesian sequential composite hypothesis testing in discrete time
• Sequential testing of a Wiener process with costly observations
• Optimal real-time detection of a drifting Brownian coordinate
• Optimal stopping with private information
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• On the sequential testing and quickest change-point detection problems for Gaussian processes
• Sequential testing problems for Bessel processes
• Optimal sequential testing for an inverse Gaussian process
• Multisource Bayesian sequential binary hypothesis testing problem
• The minimax Wiener sequential testing problem
• Sequential variational testing hypotheses on the Wiener process under delayed observations
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Detection of disorder before an observable event
• On the sequential testing problem for some diffusion processes

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