Bayesian sequential least-squares estimation for the drift of a Wiener process

DOI10.1016/j.spa.2019.09.006zbMath1493.62489arXiv1901.05410OpenAlexW2973562145WikidataQ127196588 ScholiaQ127196588MaRDI QIDQ2074995

Juozas Vaicenavicius, Erik Ekström, Ioannis Karatzas

Publication date: 11 February 2022

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

Full work available at URL: https://arxiv.org/abs/1901.05410

zbMATH Keywords

optimal stoppingsequential estimationsequential analysis

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Sequential estimation (62L12)

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Bayesian Sequential Composite Hypothesis Testing in Discrete Time ⋮ A sequential estimation problem with control and discretionary stopping

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