Bayesian sequential testing of the drift of a Brownian motion

DOI10.1051/ps/2015012zbMath1369.62201arXiv1509.00675OpenAlexW2964254646MaRDI QIDQ2786497

Erik Ekström, Juozas Vaicenavicius

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00675

zbMATH Keywords

Bayesian analysisoptimal stoppingarithmetic Brownian motionsequential hypothesis testing

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (7)

Detecting the presence of a random drift in Brownian motion ⋮ Bayesian Sequential Composite Hypothesis Testing in Discrete Time ⋮ Multi-dimensional sequential testing and detection ⋮ An optimal sequential procedure for determining the drift of a Brownian motion among three values ⋮ Sequential testing of a Wiener process with costly observations ⋮ Anscombe’s model for sequential clinical trials revisited ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources

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