Bayesian sequential testing for Lévy processes with diffusion and jump components

DOI10.1080/17442508.2016.1197926zbMath1352.60066OpenAlexW2531634115MaRDI QIDQ2833717

Pietro Muliere, Bruno Buonaguidi

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2016.1197926

zbMATH Keywords

Lévy processesfree boundary problemoptimal stoppingsmooth fit principlejump componentsBayesian sequential testingdiffusion components

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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