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

Bessel processBrownian motionentrance boundaryfree-boundary problemnonlinear Volterra integral equationoptimal stoppingparabolic partial differential equationsequential testingsignal-to-noise ratiosmooth fitthe change-of-variable formula with local time on curves

Mathematics Subject Classification ID

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) Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10)

Recommendations

• Quickest detection problems for Bessel processes
• Multi-dimensional sequential testing and detection
• A Bayesian sequential testing problem of three hypotheses for Brownian motion
• Bayesian sequential testing problem for a Brownian bridge
• Optimal real-time detection of a drifting Brownian coordinate

Cites work

• A change-of-variable formula with local time on curves
• scientific article; zbMATH DE number 3166637 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• ON THE AMERICAN OPTION PROBLEM
• On the sequential testing problem for some diffusion processes
• Quickest detection problems for Bessel processes
• Selling a stock at the ultimate maximum
• The Wiener Sequential Testing Problem with Finite Horizon

Cited in

(21)

• Multidimensional investment problem
• On optimal stopping of multidimensional diffusions
• Quickest detection problems for Bessel processes
• Detecting the presence of a random drift in Brownian motion
• On the problems of sequential statistical inference for Wiener processes with delayed observations
• Optimal real-time detection of a drifting Brownian coordinate
• An optimal sequential procedure for determining the drift of a Brownian motion among three values
• Optimal entry decision of unemployment insurance under partial information
• On the sequential testing problem for some diffusion processes
• On some functionals of the first passage times in models with switching stochastic volatility
• Discounted optimal stopping problems in continuous hidden Markov models
• Multi-dimensional sequential testing and detection
• Two-stage chi-square test and two-dimensional distributions of a Bessel process
• American options and incomplete information
• With or without replacement? Sampling uncertainty in Shepp’s urn scheme
• The minimax Wiener sequential testing problem
• Continuity of the optimal stopping boundary for two-dimensional diffusions
• Optimal investment, retirement, and life insurance with consumption ratcheting and time-inhomogeneous utility
• Optimal stopping zero-sum games in continuous hidden Markov models
• The Gapeev-Shiryaev conjecture
• Grab it before it's gone: testing uncertain rewards under a stochastic deadline

This page was built for publication: Sequential testing problems for Bessel processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4600442)