Quickest Real-Time Detection of Multiple Brownian Drifts

arXiv2305.05721MaRDI QIDQ6435987FDOQ6435987

Authors: Philip Ernst, Hongwei Mei, Goran Peskir 

Publication date: 9 May 2023

Abstract: Consider the motion of a Brownian particle in $n$ dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, exactly $k$ of the coordinate processes get a (known) non-zero drift permanently. Given that the position of the Brownian particle is being observed in real time, the problem is to detect the time at which the $k$ coordinate processes get the drift as accurately as possible. We solve this problem in the most uncertain scenario when the random/unobservable time is (i) exponentially distributed and (ii) independent from the initial motion without drift. The solution is expressed in terms of a stopping time that minimises the probability of a false early detection and the expected delay of a missed late detection. The elliptic case $k=1$ has been settled in Ernst and Peskir (2022) where the hypoelliptic case $1<k<n$ resolved in the present paper was left open (the case $k=n$ reduces to the classic case $n=1$ having a known solution). We also show that the methodology developed solves the problem in the general case where exactly $k$ is relaxed to any number of the coordinate processes getting the drift. To our knowledge this is the first time that such a multi-dimensional hypoelliptic problem has been solved exactly in the literature.

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

This page was built for publication: Quickest Real-Time Detection of Multiple Brownian Drifts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6435987)