Detecting the presence of a random drift in Brownian motion

التفاصيل البيبلوغرافية
العنوان: Detecting the presence of a random drift in Brownian motion
المؤلفون: P. Johnson, Jesper Pedersen, Goran Peskir, Cristina Zucca
سنة النشر: 2022
مصطلحات موضوعية: Statistics and Probability, Sequential testing, Motion (geometry), 01 natural sciences, 010104 statistics & probability, symbols.namesake, Dimension (vector space), Wiener process, Random drift, Prior probability, Optimal stopping, Statistical physics, 0101 mathematics, Brownian motion, Mathematics, Parabolic partial differential equation, Applied Mathematics, 010102 general mathematics, Zero drift, Free-boundary problem, Terminal (electronics), Modeling and Simulation, symbols
الوصف: 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.
اللغة: English
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fdae806e7fbfb37b4cd783633df1fa
https://hdl.handle.net/2318/1847650
Rights: OPEN
رقم الانضمام: edsair.doi.dedup.....22fdae806e7fbfb37b4cd783633df1fa
قاعدة البيانات: OpenAIRE