Sequential testing problems for Bessel processes

DOI10.1090/tran/7068zbMath1406.60061OpenAlexW2586884584MaRDI QIDQ4600442

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Publication date: 9 January 2018

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tran/7068

zbMATH Keywords

Bessel processoptimal stoppingBrownian motionnonlinear Volterra integral equationsignal-to-noise ratiofree-boundary problemsmooth fitentrance boundaryparabolic partial differential equationsequential testingthe change-of-variable formula with local time on curves

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Second-order parabolic equations (35K10)

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Cites Work

• Quickest detection problems for Bessel processes
• Selling a stock at the ultimate maximum
• A change-of-variable formula with local time on curves
• On the sequential testing problem for some diffusion processes
• The Wiener Sequential Testing Problem with Finite Horizon
• ON THE AMERICAN OPTION PROBLEM
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