A martingale approach for detecting the drift of a Wiener process

DOI10.1016/S0304-4149(98)00071-4zbMath0963.60038MaRDI QIDQ1593617

Volkert Paulsen

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Wiener processoptimal stoppingboundary crossingstochastic integralBayes testsequential probability ratio testdensity process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

Cites Work

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• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• The shape of Bayes tests of power one
• Asymptotic expansions for the variance of stopping times in nonlinear renewal theory
• On the expansion for expected sample size in nonlinear renewal theory
• The expected sample size of some tests of power one
• Boundary crossing probabilities for sample sums and confidence sequences
• Conjugate priors for exponential families
• Asymptotic Behavior of Expected Sample Size in Certain One Sided Tests
• ITERATED LOGARITHM INEQUALITIES
• SOME FURTHER REMARKS ON INEQUALITIES FOR SAMPLE SUMS

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