Multi-dimensional sequential testing and detection

被引：7

作者：

Ekstrom, Erik ^{[1
]}

Wang, Yuqiong ^{[1
]}

机构：

[1] Uppsala Univ, Dept Math, Uppsala, Sweden

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2022年 / 94卷 / 05期

基金：

瑞典研究理事会;

关键词：

Sequential analysis; optimal stopping; Bayesian quickest detection problem; INVESTMENT; ROBUSTNESS; TIME;

D O I：

10.1080/17442508.2021.1993852

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study extensions to higher dimensions of the classical Bayesian sequential testing and detection problems for Brownian motion. In the main result, we show that, for a large class of problem formulations, the cost function is unilaterally concave. This concavity result is then used to deduce structural properties for the continuation and stopping regions in specific examples.

引用

页码：789 / 806

页数：18

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