A Bayesian sequential testing problem of three hypotheses for Brownian motion

DOI10.1524/stnd.2011.1109zbMath1228.62101OpenAlexW17812780MaRDI QIDQ3104432

Albert N. Shiryaev, Mikhail Zhitlukhin

Publication date: 19 December 2011

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2011.1109

zbMATH Keywords

Brownian motionlocal timeoptimal stopping problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items (11)

Detecting the presence of a random drift in Brownian motion ⋮ Detecting changes in real-time data: a user’s guide to optimal detection ⋮ Bayesian Sequential Composite Hypothesis Testing in Discrete Time ⋮ Optimal real-time detection of a drifting Brownian coordinate ⋮ Multi-dimensional sequential testing and detection ⋮ Multisource Bayesian sequential binary hypothesis testing problem ⋮ An optimal sequential procedure for determining the drift of a Brownian motion among three values ⋮ Sequential testing of a Wiener process with costly observations ⋮ Optimal sequential testing for an inverse Gaussian process ⋮ On the Wald's Sequential Probability Ratio Test for Lévy Processes ⋮ Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise

Cites Work

• On a comparison theorem for solutions of stochastic differential equations and its applications
• A change-of-variable formula with local time on curves

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