Geodesic
Bayesian sequential testing problem for a Brownian bridge
Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 4, pp. 683-712 Cet article a éte moissonné depuis la source Math-Net.Ru

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The present paper gives a solution to the Bayesian sequential testing problem of two simple hypotheses about the mean of a Brownian bridge. The method of the proof is based on reducing the sequential analysis problem to the optimal stopping problem for a strong Markov posterior probability process. The key idea in solving the above problem is the application of the one-to-one Kolmogorov time-space transformation, which enables one to consider, instead of the optimal stopping problem on a finite time horizon for a time-inhomogeneous diffusion process, an optimal stopping problem on an infinite time horizon for a homogeneous diffusion process with a slightly more complicated risk functional. The continuation and stopping sets are determined by two continuous boundaries, which constitute a unique solution of a system of two nonlinear integral equations.
Keywords: sequential analysis, hypothesis testing problem, optimal stopping problem, Brownian bridge, Kolmogorov time-space transformation. 
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D. I. Lisovskii. Bayesian sequential testing problem for a Brownian bridge. Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 4, pp. 683-712. http://geodesic.mathdoc.fr/item/TVP_2018_63_4_a3/

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