On the sequential testing problem for some diffusion processes
From MaRDI portal
Publication:3108378
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
change-of-variable formulastochastic boundarylocal time on surfacesparabolic-type free-boundary problemtwo-dimensional optimal stopping
Diffusion processes (60J60) 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, Detecting changes in real-time data: a user’s guide to optimal detection, Optimal real-time detection of a drifting Brownian coordinate, Discounted optimal stopping problems in continuous hidden Markov models, On the sequential testing and quickest change-point detection problems for Gaussian processes, Sequential testing problems for Bessel processes, Multisource Bayesian sequential binary hypothesis testing problem, ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY, An optimal sequential procedure for determining the drift of a Brownian motion among three values, On the problems of sequential statistical inference for Wiener processes with delayed observations, PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION, Bayesian Quickest Detection Problems for Some Diffusion Processes, Sequential Testing Problems for Lévy Processes, Optimal sequential testing for an inverse Gaussian process, A Dynkin Game on Assets with Incomplete Information on the Return, Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise
Cites Work
- Sequential testing of simple hypotheses about compound Poisson processes
- Sequential testing problems for Poisson processes.
- On the Strong Solutions of Stochastic Differential Equations
- The Wiener Sequential Testing Problem with Finite Horizon
- On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
- Optimum Character of the Sequential Probability Ratio Test
- Bayes Solutions of Sequential Decision Problems
- Sequential Decision Problems for Processes with Continuous time Parameter. Testing Hypotheses
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
