Accession Number:

ADA190322

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s):

Report Date:

1987-10-01

Pagination or Media Count:

18.0

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 Chernoffs 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.

Subject Categories:

  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE