Bayesian sequential testing problem for a Brownian bridge

DOI10.1137/S0040585X97T989258MaRDI QIDQ4618074zbMATH OpenWikidataFDO

Authors Dmitrii I. Lisovskii

Publication date 7 February 2019

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T989258

zbMATH Keywords

Brownian bridgehypothesis testing problemKolmogorov time-space transformationoptimal stopping problemsequential analysis

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Parametric hypothesis testing (62F03) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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Cited in

(11)

• On Chernoff's test for a fractional Brownian motion
• Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
• On Chernoff's hypotheses testing problem for the drift of a Brownian motion
• A Bayesian sequential testing problem of three hypotheses for Brownian motion
• Asymptotic properties of the solution to the sequential testing problem on a finite horizon
• scientific article; zbMATH DE number 1057571 (Why is no real title available?)
• The Wiener Sequential Testing Problem with Finite Horizon
• Sequential testing problems for Bessel processes
• Bayesian sequential testing with expectation constraints
• Test to distinguish a Brownian motion from a Brownian bridge using Pólya tree process
• A continuous-time sequential testing problem

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