Sequential testing problems for Bessel processes

DOI10.1090/TRAN/7068MaRDI QIDQ4600442zbMATH OpenOpenAlexFDO

Authors

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

Brownian motionsignal-to-noise ratiofree-boundary problemoptimal stoppingsmooth fitBessel processnonlinear Volterra integral equationentrance boundaryparabolic partial differential equationsequential testingthe change-of-variable formula with local time on curves

Mathematics Subject Classification ID

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

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Cites work

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• A change-of-variable formula with local time on curves
• ON THE AMERICAN OPTION PROBLEM
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Cited in

(19)

• On the sequential testing problem for some diffusion processes
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• American options and incomplete information
• Detecting the presence of a random drift in Brownian motion
• Optimal stopping zero-sum games in continuous hidden Markov models
• Optimal real-time detection of a drifting Brownian coordinate
• Multi-dimensional sequential testing and detection
• Optimal entry decision of unemployment insurance under partial information
• Two-stage chi-square test and two-dimensional distributions of a Bessel process
• The minimax Wiener sequential testing problem
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Continuity of the optimal stopping boundary for two-dimensional diffusions
• On optimal stopping of multidimensional diffusions

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