On the sequential testing problem for some diffusion processes

DOI10.1080/17442508.2010.530349zbMath1228.62098OpenAlexW2061662524MaRDI QIDQ3108378

Albert N. Shiryaev, Pavel V. Gapeev

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/41648/1/Gapeev_Shiryaev_On%20the%20sequential%20testing%20.pdf

zbMATH Keywords

change-of-variable formulastochastic boundarylocal time on surfacesparabolic-type free-boundary problemtwo-dimensional optimal stopping

Mathematics Subject Classification ID

Diffusion processes (60J60) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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