Data di Pubblicazione:
2022
Abstract:
Consider a standard Brownian motion in one dimension, having either a zero drift, or a non-zero drift that is randomly distributed according to a known probability law. Following the motion in real time, the problem is to detect as soon as possible and with minimal probabilities of the wrong terminal decisions, whether a non-zero drift is present in the observed motion. We solve this problem for a class of admissible laws in the Bayesian formulation, under any prior probability of the non-zero drift being present in the motion, when the passage of time is penalised linearly.
Tipologia CRIS:
03A-Articolo su Rivista
Keywords:
Brownian motion; Free-boundary problem; Optimal stopping; Parabolic partial differential equation; Random drift; Sequential testing
Elenco autori:
Johnson P.; Pedersen J.L.; Peskir G.; Zucca C.
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