The Wiener Sequential Testing Problem with Finite Horizon

DOI10.1080/10451120410001663753MaRDI QIDQ4470150zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Goran Peskir

Publication date 22 June 2004

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120410001663753

zbMATH Keywords

Curved boundaryFinite horizonLocal time-space calculusNon-linear volterra integral equationsOptimal stoppingParabolic free-boundary problemSequential testingWiener process

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Systems of nonlinear integral equations (45G15) Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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• The minimax Wiener sequential testing problem
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• Grab it before it's gone: testing uncertain rewards under a stochastic deadline
• The Wiener disorder problem with finite horizon

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