Sequential testing of a Wiener process with costly observations

DOI10.1080/07474946.2018.1427973zbMath1486.62231OpenAlexW2790071679WikidataQ130150471 ScholiaQ130150471MaRDI QIDQ4639218

Erik Ekström, Hannah Dyrssen

Publication date: 3 May 2018

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2018.1427973

zbMATH Keywords

optimal stoppingBrownian motionhypothesis testingsequential analysis

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical design (62L05) Sequential statistical analysis (62L10)

Related Items (6)

Mathematical and numerical analyses of a stochastic impulse control model with imperfect interventions ⋮ Sequential probability ratio test for skew normal distribution ⋮ Disorder detection with costly observations ⋮ Analysis and computation of a discrete costly observation model for growth estimation and management of biological resources ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation ⋮ Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations

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