An optimal sequential procedure for determining the drift of a Brownian motion among three values

DOI10.1016/j.spa.2023.02.001OpenAlexW4319759439MaRDI QIDQ2698484

Bruno Buonaguidi

Publication date: 24 April 2023

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

Full work available at URL: https://doi.org/10.1016/j.spa.2023.02.001

zbMATH Keywords

optimal stoppingBrownian motionfree-boundary problemsequential analysisnon-monotone boundaryBayesian formulation

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

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