Quickest search over Brownian channels
نویسندگان
چکیده
منابع مشابه
Quickest Search over Brownian Channels
In this paper we resolve an open problem proposed by [9]. Consider a sequence of Brownian Motions with unknown drift equal to one or zero, which may be observed one at a time. We give a procedure for finding, as quickly as possible, a process which is a Brownian Motion with nonzero drift. This original quickest search problem, in which the filtration itself is dependent on the observation strat...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2013
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2013.819874