Sequential Tests for the Drift of a Wiener Process with a Smooth Prior, and the Heat Equation.

Abstract

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. Keywords: Sequential Bayes; Heat equation; Brownian motion; Asymptotic; Free boundary problems.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1987
Accession Number
ADA190322

Entities

People

  • Gordon Simon
  • Xizhi Wu
  • Yi-ching Yao

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Air Platforms
  • C4I
  • Human Systems
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Asymptotic Series
  • Availability
  • Boundaries
  • Brownian Motion
  • Classification
  • Coordinate Systems
  • Equations
  • Normal Distribution
  • North Carolina
  • Probability
  • Random Variables
  • Security
  • Sequential Analysis
  • Statistics
  • Stochastic Processes
  • Universities

Fields of Study

  • Mathematics

Readers

  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Statistical inference.