On Chernoff's Hypotheses Testing Problem for the Drift of a Brownian Motion

DOI10.1137/S0040585X97986266zbMath1396.62185OpenAlexW1994779037MaRDI QIDQ2874150

Mikhail Zhitlukhin, Alexey Muravlev

Publication date: 28 January 2014

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97986266

zbMATH Keywords

integral equationsoptimal stopping problemChernoff's problemsequential hypotheses testing

Mathematics Subject Classification ID

Brownian motion (60J65) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items

Detecting the presence of a random drift in Brownian motion, Optimal stopping with private information, On the existence of solutions of unbounded optimal stopping problems, Sequential testing of a Wiener process with costly observations, Anscombe’s model for sequential clinical trials revisited, On Chernoff's test for a fractional Brownian motion, Bayesian sequential testing of the drift of a Brownian motion, A Bayesian sequential test for the drift of a fractional Brownian motion