Multi-dimensional sequential testing and detection
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Publication:5094575
DOI10.1080/17442508.2021.1993852zbMATH Open1492.60102arXiv2009.02226OpenAlexW3210571836MaRDI QIDQ5094575FDOQ5094575
Authors: Erik Ekström, Yuqiong Wang 
Publication date: 3 August 2022
Published in: Stochastics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2009.02226
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Sequential statistical analysis (62L10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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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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