Detecting the presence of a random drift in Brownian motion

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Consider a standard Brownian motion in one dimension, having either a zero drift, or a non-zero drift that is randomly distributed according to a known probability law. Following the motion in real time, the problem is to detect as soon as possible and with minimal probabilities of the wrong terminal decisions, whether a non-zero drift is present in the observed motion. We solve this problem for a class of admissible laws in the Bayesian formulation, under any prior probability of the non-zero drift being present in the motion, when the passage of time is penalised linearly.

Original languageEnglish
JournalStochastic Processes and Their Applications
Volume150
Pages (from-to)1068-1090
ISSN0304-4149
DOIs
Publication statusPublished - 2022

Bibliographical note

Publisher Copyright:
© 2021 Elsevier B.V.

    Research areas

  • Brownian motion, Free-boundary problem, Optimal stopping, Parabolic partial differential equation, Random drift, Sequential testing

ID: 276952971