The Wiener Sequential Testing Problem with Finite Horizon

DOI10.1080/10451120410001663753zbMath1054.62087OpenAlexW2062319635MaRDI QIDQ4470150

Goran Peskir, Pavel V. Gapeev

Publication date: 22 June 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120410001663753

zbMATH Keywords

Wiener processOptimal stoppingFinite horizonSequential testingCurved boundaryLocal time-space calculusNon-linear volterra integral equationsParabolic free-boundary problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Free boundary problems for PDEs (35R35) Sequential statistical analysis (62L10) Systems of nonlinear integral equations (45G15) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

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