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

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)

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Cited in

(30)

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

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