Sequential Tests for the Drift of a Wiener Process with a Smooth Prior, and the Heat Equation
Simons, Gordon ; Yao, Yi-Ching ; Wu, Xizhi
Ann. Statist., Tome 17 (1989) no. 1, p. 783-792 / Harvested from Project Euclid
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Methods are described which permit one to work with continuous-time optimal stopping problems, using the heat equation, even when the prior placed on the drift parameter of a Wiener process is not normal. The details of the method are worked out for Chernoff's problem of testing the sign of the drift parameter when the prior is "smooth."
Publié le : 1989-06-14
Classification:  Sequential Bayes,  heat equation,  Brownian motion,  optimal stopping,  continuation region,  asymptotics,  62L15,  62C10 
@article{1176347142,
     author = {Simons, Gordon and Yao, Yi-Ching and Wu, Xizhi},
     title = {Sequential Tests for the Drift of a Wiener Process with a Smooth Prior, and the Heat Equation},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 783-792},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347142}
}

Simons, Gordon; Yao, Yi-Ching; Wu, Xizhi. Sequential Tests for the Drift of a Wiener Process with a Smooth Prior, and the Heat Equation. Ann. Statist., Tome 17 (1989) no. 1, pp.  783-792. http://gdmltest.u-ga.fr/item/1176347142/