Multi-dimensional sequential testing and detection

DOI10.1080/17442508.2021.1993852MaRDI QIDQ5094575zbMATH OpenOpenAlexFDO

Authors Erik Ekström, Yuqiong Wang

Publication date 3 August 2022

Published in Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2009.02226

zbMATH Keywords

sequential analysisoptimal stoppingBayesian quickest detection problem

Mathematics Subject Classification ID

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

Abstract: We study extensions to higher dimensions of the classical Bayesian sequential testing and detection problems for Brownian motion. In the main result we show that, for a large class of problem formulations, the cost function is unilaterally concave. This concavity result is then used to deduce structural properties for the continuation and stopping regions in specific examples.

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 1795857 (Why is no real title available?)
• A Bayesian sequential testing problem of three hypotheses for Brownian motion
• Adaptive Poisson disorder problem
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• Comment on “Investment Timing Under Incomplete Information”
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• Robustness of the Black and Scholes Formula
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• Superreplication of Options on Several Underlying Assets
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Cited in

(8)

• Sequential detection of targets in multichannel systems
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• Compound Poisson disorder problem with uniformly distributed disorder time
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• Bayesian sequential composite hypothesis testing in discrete time
• A modified sequential detection procedure
• Sequential testing problems for Bessel processes
• A detection problem with a monotone observation rate

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