Sequential testing of several simple hypotheses for a diffusion process and the corresponding free boundary problem
DOI10.2140/pjm.1981.93.49zbMath0474.62076OpenAlexW2083754811MaRDI QIDQ1158911
Luis A. Caffarelli, Avner Friedman
Publication date: 1981
Published in: Pacific Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2140/pjm.1981.93.49
Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of partial differential operators (47F05) Free boundary problems for PDEs (35R35) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)
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