Finite horizon sequential detection with exponential penalty for the delay
DOI10.1007/s10957-023-02239-8zbMath1515.60108OpenAlexW4377982697MaRDI QIDQ6108981
Publication date: 26 July 2023
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-023-02239-8
optimal stoppingBrownian motionfinite horizonexponential penaltysequential analysissequential detection
Bayesian problems; characterization of Bayes procedures (62C10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
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